Jones took over at Hillsborough in March last year and steered them back into the Championship, but leaves with Wednesday 23rd in the table - six points from safety after just one win this season.
A Sheffield Wednesday statement read: "Dave Jones has been relieved of his duties as first-team manager with immediate effect.
"The club would like to thank Dave for all of his hard work and wish him well for the future. We will be making no further comment at this time."
Saturday's 2-0 defeat at Blackpool was their third in a row. Jones won 29 of his 81 games in charge, losing 30 and leaves with a win rate of 36 percent.
Speaking after Saturday's defeat at Bloomfield Road, a defiant Jones said: "This club has had 12 or 13 managers in recent years but sacking managers isn't the way forward.
"We're all fighting for our jobs, but players have to start putting chances in the back of the net.
"I don't have a magic wand and the problem is there is a little bit of fear in the players at the minute. But they shouldn't be fearful - things can't get any worse.
"I speak to the chairman (Milan Mandaric) every single day and you'll have to ask him if he's going to get rid of me. I don't know the lottery numbers and I don't know what my future will be either.
"It's frustrating. We've worked at things and you can see it coming but players have a responsibility."
Wednesday are level on points with Barnsley - who sacked David Flitcroft on Saturday evening - at the bottom and play Championship leaders Leicester City on Tuesday night.