The England Under-21 international has joined the club on loan until the end of the season.
He ends his hopes of playing at Wembley on Sunday.
Connor Wickham: “I need to be playing football.
“I’d been playing at Wednesday and I knew there was some interest in me, but I just needed to focus on playing football.
“Once I heard Leeds were interested in signing me there were no other choices and no doubt I wanted to come.
“I just want to play football and do the best I can, and hopefully push the team into the promotion picture.”