The 26-year-old spent the last month-and-a-half of 2014 with the Owls, starting seven games and helping them win four of them.
McGugan scored 10 goals in his debut season for Watford in 2013-14, but hasn't played for the Hornets since November.
He is the third player to join Wednesday on deadline day following the permanent signings of Sergiu Bus and Marnick Vermijl.
Restore Data
| Team | P | W | D | L | F | A | GD | PTS | |
| 1 | Leicester CityLeicester | 43 | 29 | 4 | 10 | 81 | 39 | 42 | 91 |
| 2 | Leeds UnitedLeeds | 44 | 27 | 9 | 8 | 80 | 37 | 43 | 90 |
| 3 | Ipswich TownIpswich | 43 | 26 | 11 | 6 | 85 | 53 | 32 | 89 |
| 4 | Southampton | 43 | 25 | 9 | 9 | 85 | 56 | 29 | 84 |
| 5 | West Bromwich AlbionWest Brom | 44 | 20 | 12 | 12 | 67 | 44 | 23 | 72 |
| 6 | Norwich CityNorwich | 44 | 21 | 9 | 14 | 77 | 61 | 16 | 72 |
| 7 | Hull City | 43 | 18 | 12 | 13 | 62 | 54 | 8 | 66 |
| 8 | Coventry CityCoventry | 42 | 17 | 12 | 13 | 66 | 52 | 14 | 63 |
| 9 | Middlesbrough | 44 | 18 | 9 | 17 | 64 | 60 | 4 | 63 |
| 10 | Preston North EndPreston | 44 | 18 | 9 | 17 | 56 | 61 | -5 | 63 |
| 11 | Cardiff CityCardiff | 44 | 19 | 5 | 20 | 50 | 61 | -11 | 62 |
| 12 | Bristol City | 44 | 16 | 11 | 17 | 51 | 47 | 4 | 59 |
| 13 | Sunderland | 44 | 16 | 8 | 20 | 52 | 51 | 1 | 56 |
| 14 | Swansea CitySwansea | 44 | 15 | 11 | 18 | 57 | 62 | -5 | 56 |
| 15 | Watford | 44 | 12 | 17 | 15 | 59 | 58 | 1 | 53 |
| 16 | Millwall | 44 | 14 | 11 | 19 | 43 | 55 | -12 | 53 |
| 17 | Stoke CityStoke | 44 | 13 | 11 | 20 | 44 | 60 | -16 | 50 |
| 18 | Queens Park RangersQPR | 44 | 13 | 11 | 20 | 41 | 57 | -16 | 50 |
| 19 | Blackburn RoversBlackburn | 44 | 13 | 10 | 21 | 58 | 74 | -16 | 49 |
| 20 | Plymouth ArgylePlymouth | 44 | 12 | 12 | 20 | 58 | 69 | -11 | 48 |
| 21 | Sheffield WednesdaySheff Weds | 44 | 13 | 8 | 23 | 39 | 68 | -29 | 47 |
| 22 | Birmingham CityBirmingham | 44 | 12 | 10 | 22 | 48 | 64 | -16 | 46 |
| 23 | Huddersfield TownHuddersfield | 44 | 9 | 17 | 18 | 47 | 74 | -27 | 44 |
| R | Rotherham UnitedRotherham | 44 | 4 | 12 | 28 | 32 | 85 | -53 | 24 |
| > Championship Full Table | |||||||||
