Joao, 23, capped twice internationally by Portugal, moved to Hillsborough from Nacional in 2015 and has scored nine goals in 60 appearances for the Owls.
But only one of those goals came this season and he becomes Blackburn's first signing of the transfer window.
Joao could make his debut in Wednesday's home game against Leeds.
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Blackburn Rovers have signed striker Lucas Joao from Championship rivals Sheffield Wednesday on loan for the rest of the season.