Madine, 24, has netted just once in 13 games this term and the arrival of Gary Taylor-Fletcher has dropped him down the pecking order at Hillsborough.
The Gateshead-born player had a loan spell with the Sky Blues five years ago, making nine appearances for the Midlands outfit.
Owls head coach Stuary Gray, who is keen to bring in another forward option to boost his numbers with young striker Hallam Hope returning to Everton this week, said: “The most important thing is playing games and that’s why we have allowed Madine to go out on loan.”
On signing Madine, Coventry boss Stephen Pressley said: “We’re delighted to bring in a player of Gary’s quality. He is a player we’ve been tracking for sometime and we’ve always been aware of the quality he has.
“We made enquiries about availability in the summer but remained very much in Sheffield Wednesday’s plans at the time.
“He is a player with a proven goal-scoring record at this level and certainly brings great presence and physicality to the team.”