Madine, 23, was sentenced to 18 months in jail last October for two separate assaults, one causing grievous bodily harm and the other actual bodily harm.
Former Carlisle forward Madine tweeted on Thursday morning that he was looking forward to returning to training.
But a brief club statement read: "Sheffield Wednesday can confirm the release from prison of Gary Madine on Thursday morning.
"The club nor the player will be making any further comment until such a time when discussions take place between all parties concerned in due course."
Madine joined Wednesday from Carlisle in January 2011 and was top scorer with 18 goals when the team won promotion from League One in 2012.
Last season Madine, who has had loan spells at Rochdale, Coventry and Chesterfield, scored four goals in 35 league games.
He played the last of his two games for Wednesday this season in the Capital One Cup defeat at Rotherham in August.