The 25-year-old has signed a three-year contract at Hillsborough after spending his entire career with the Lions, progressing through the club’s academy to become a first-team regular.
Mitchell made 30 Championship appearances last season as Millwall reached the play-offs and arrives with valuable experience, having played 184 second-tier matches.
“I’m very excited, this is a massive club, massive opportunity. We all know Sheffield Wednesday doesn't belong in League One and I, along with the rest of the boys, am going to make it our sole mission to get promoted,” Mitchell told club media.
“It’s the history of the club, the size of the club, the fans, and I've heard great things about the dressing room. I think the thing that sticks out to me the most is how everyone's stuck together, how the fans have stuck by the team through thick and thin. That's something that you can't buy.
“Having spoken to the owner and hearing how he envisaged the club moving forward and doing it with a smile on our faces as well, that was something that really enticed me.”