The 55-year-old, who has signed a three-and-a-half-year deal, outlined his ambition to gain promotion from League One with the Owls and eventually achieve Premier League status
The former Cardiff City boss, who has signed a three-and-a-half-year contract, is after an immediate promotion for League One’s third-place side, with a view to entering the Premier League as a long-term goal.
Jones brings 15 years of managerial experience to the Owls, including guiding Wolves to Premier League promotion in 2002-03.
More recently, the 55-year-old led Cardiff to an FA Cup final, along with Championship play-off semi-final and final berths.
"This is a fantastic football club and a fantastic challenge for me," Jones told reporters.
"Promotion is the first ambition and from there is to try and get to the Holy Grail, which is the Premiership.
"I've had a lot of calls asking why I have dropped down to League One but I don't see it that way. I look at the size of the club and think this is a club that can go places.
"After talking to the chairman and seeing what he wanted and what his plans are, I had no hesitation in choosing here because it is a huge club that should not be where it is now."
Wednesday chairman Milan Mandaric also reserved special praise for Jones.
He added: "Dave is a very successful football manager and I am delighted to welcome him to Sheffield Wednesday.
"It was essential that we made a swift appointment with 13 games to go this season and I am convinced we have the right man for this job.
"I like his style of football and his approach to the game but more than anything else, he is a builder of clubs and he will help to galvanise Sheffield Wednesday.
"His first objective is to get us out of League One and back into the Championship and then rebuild the club for the Premier League.