The 21-year-old winger, who rose through Preston's academy, has put pen to paper on a three-year contract at Hillsborough.
"This club is massive and I couldn't be happier with this move," Mayor told the Owls' official website. "I've had a lot to be grateful for at Preston and would like to thank everybody there for their support.
"But this is the start of the next stage of my career and I'm really excited. I've played in the Championship before and now I'm looking forward to playing at that level again with Wednesday."
Mayor was given his Preston debut by former boss Darren Ferguson in 2010 and went on to make 75 appearances for his hometown club, scoring three goals.