Having extended his Saints deal until 2017, the winger will now see out the season at Hillsborough.
Wednesday are currently 12th in the Championship standings with nine games left in the campaign, and are managed by one-time Saints boss Stuart Gray.
Isgrove, who had a successful loan spell in League 1 with Peterborough United last season, has made four appearances for Saints’ first team in 2014/15 as well playing regularly in the Barclays Under-21 Premier League.
The 22 year-old now joins up with the Owls in time for a possible debut in Saturday’s Yorkshire derby at Rotherham United.
Executive Director of Football Les Reed said: “This is a great opportunity for Lloyd to demonstrate his prowess at a Championship club and get some more valuable first-team experience.
“We hope he will showcase his talent and return to us as a genuine prospect for first-team football next season."