On 19 November 2014, he joined Sheffield Wednesday on a one-month loan deal. He returned to Wednesday on 2 February, signing on loan until the end of the 2014–15 season. He was named as the "Owls" player of the month for both February and March after first scoring in back to back games against Derby and Millwall and then claiming a further goal and two assists the next month. Manager Stuart Gray admitted he was keen to sign the player permanently following his run of good form. McGugan signed a three-year deal with Sheffield Wednesday for an undisclosed fee on 16 July 2015.