Madine, 24, who spent three months on loan with the Sky Blues in 2009, was  last October for assaulting two fans in separate Sheffield nightclub incidents.
But, following his early release in February, he finished the season on loan at Carlisle United, scoring twice.
He has netted once this season in 13 Owls games, mostly off the bench.
"We made enquiries about his availability in the summer," said City boss Steven Pressley. "He remained very much in Sheffield Wednesday's plans at the time. But we've always been aware of the quality he has.
"He is a player we've been tracking for some time with a proven goal-scoring record at this level and certainly brings great presence and physicality to the team."
Coventry City have re-signed Sheffield Wednesday striker Gary Madine on an initial month's loan.