The 20-year-old striker went on loan to Sheffield Wednesday earlier this season, where he scored one of his eight goals in the 6-0 win over Leeds last month at Hillsborough.
And Wickham, who has failed to break into the first-team at the Stadium of Light, is eyeing a play-off push with his new Championship club.
The England Under-21 international said: "I need to be playing football.
"I'd been playing at [Sheffield] Wednesday and I knew there was some interest in me, but I just needed to focus on playing football.
"Once I heard Leeds were interested in signing me there were no other choices and no doubt I wanted to come.
"I played against Leeds earlier this season with Sheffield Wednesday. The potential here is big.
"There are some players here that I know already, and the team is looking to push towards the Play-Offs. Hopefully I can help with that.
"I just want to play football and do the best I can, and hopefully push the team into the promotion picture."
Brian McDermott revealed he was delighted to snap up the Black Cats striker, who could make his debut at QPR on Saturday.
The Leeds boss said: "We are delighted to have signed Connor until the end of the season.
"There was a lot of competition for his signature, but he was very keen to come and play at Leeds United.
"He is another young English player who has everything in front of him."