The highly-rated Algerian international signed on Friday after also interesting Sheffield United, Birmingham City and Leeds United.
Bougherra signed a three-year deal from FC Guengnon in France after being spotted last season while he was on loan at Crewe.
The Owls have paid around £250,000 for his services and immediately he thinks that he can help steer Paul Sturrock's men back to the Premiership.
He told the club's official site: "I have spoken with the manager and the whole staff and am very confident and excited about playing with Sheffield Wednesday. They have a minimum of 25,000 (home) supporters and I want to play well for those supporters."
"I want to go to the Premiership with the team for the supporters and the city because Wednesday don't want to stay in the championship. I'm very excited and want the supporters to say I'm a good signing."