The 23-year old Republic of Ireland striker was in top form in the SPL this season, netting 15 goals from 19 starts for Killie, who have been in danger of losing him for the past few weeks.
Sammon's deal went through just minutes before the 11pm deadline for the winter transfer window, making him Latics boss Roberto Martinez's first permanent signing of January.
The Spanish tactician was delighted to secure the services of the Dublin-born attacker.
"Conor is a young, hungry player we have been looking at for a while," he told the club'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."
The ex-Republic of Ireland U21 added: "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."