The 24-year-old has been on loan at the DW Stadium for the past two months, where he has scored three goals for Uwe Rosler's side.
The move ends Waghorn's four-and-a-half-years at Leicester following his arrival from Sunderland.
A statement from Leicester read: "Striker Martyn Waghorn has today completed a permanent transfer to Wigan Athletic.
"As Martyn joined Wigan on a standard loan in January, his permanent transfer is able to be completed outside of the transfer window.
"The move brings to an end Martyn's near-five year association with Leicester City, where he initially arrived on a season-long loan from Sunderland in August 2009, before making the move permanent the following summer.
"Leicester City would like to place on record its thanks to Martyn for his contribution to the Club during his time at King Power Stadium and wish him the very best of luck in the future."