Sammon has signed a three-and-a-half-year deal with the Latics.
"Conor is a young, hungry player we have been looking at for a while," manager Roberto Martinez told Wigan's official website.
"He has developed in an incredible manner over the last six months and it's fortunate that we've been able to move for him before he has achieved his full potential, which we're hoping he will do in a Latics shirt. We are delighted to welcome him on board."
Dublin-born Sammon admitted it had been a wrench to leave Killie.
"It was a big decision to leave a club that has been so good for my career but I'm a Wigan Athletic player now and I want to prove to everyone here they've made the right choice, and prove myself in the Premier League," said the former Republic of Ireland Under 21 international, who will wear the number 18 shirt at the DW Stadium.