Antonio, 22, who spent last season on loan at Hillsborough, has put pen to paper on a four-year contract.
"I've been waiting patiently for this move all summer and I'm so pleased it has gone through," Antonio told the club's official website. "Everything comes to those who wait.
"Winning promotion with Sheffield Wednesday last season was something I will never forget. Wednesday fans have been encouraging me all summer to sign and they have played a massive part in this move.
"I would like to say thank you to all of them and now I can focus on next season and helping Wednesday succeed in the Championship."