Gray had no shortage of suitors, with several Championship and League One clubs chasing his signature before he opted for the Owls. The move marks his second loan away from Elland Road, following a spell at Rotherham United last season that saw him score three goals and add an assist in League One, alongside a prolific campaign for Leeds' Under-21s.
Speaking after his arrival, Gray explained his thinking.
"There were quite a few clubs interested but it was an easy decision because this is such a big club. It's crazy to think about 24,000 season tickets in League One and the timing is perfect, as I have a full pre-season to settle in," he said.
"Hillsborough is a special stadium when the fans get going and I think this year, with everything that's going on around the place, it should be unbelievable and hopefully a season to remember. It's the perfect place for me."
Sporting director Simon Wilson was equally enthusiastic.
"Harry has an elite record in youth football and proved last season that he can translate his qualities to a senior environment. In challenging circumstances, he delivered a good attacking impact in this league and his experiences with Rotherham United will provide solid foundations for him to build from," Wilson said.
"Our playing identity will demand that we create a lot of opportunities, and we expect Harry to be a big threat to our opponents. We are thankful to Leeds United for trusting us with the next phase of his development and look forward to bringing him into the group."
Gray is one of the brightest prospects on Leeds United's books, fast-tracked into the under-18s before graduating to the senior squad and making his Championship debut at just 16. He followed an outstanding under-21s campaign — 11 goals in 13 games — with regular first-team minutes at Rotherham from January to May, and has represented England at under-15, under-16 and under-17 level.
He also carries serious football pedigree. The son of Scotland international Andy Gray, he is the grandson of former Leeds player Frank Gray and great-nephew of club legend Eddie Gray, while his brother Archie Gray is currently a regular for Tottenham Hotspur.
Gray has already linked up with his new team-mates as Sheffield Wednesday continue pre-season at St George's Park.