Atdhe Nuhiu scored in extra time to deny Watford the Championship title in the final game of the season.
The hosts looked set to be promoted as champions until Nuhiu hooked home a minute into added time.
Matej Vydra pounced to give Watford a first half lead but they failed to turn the screw.
Wednesday competed well for the first half hour without really threatening the Premier League-bound hosts.
And the sense of inevitably of a goal was only growing when Vydra gave Watford the lead after 25 minutes.
After the goal, the energy levels in the game dropped considerably as Watford largely controlled possession, comfortably sitting on their lead.
The Owls pressed well to ensure the hosts did not have it all their own way but struggled to create anything of real note in the final third.
The whole game hinged on Vydra’s goal.
Troy Deeney robbed the ball off Lewis Buxton and drilled low. While Chris Kirkland saved the shot, Vydra pounced to nod home the rebound into an empty net.
It was a goal that had been coming for the hosts as they chased the win they needed to win the Championship title.
Kirkland had already saved superbly from Vydra, flicking the ball away with his legs.
And the unlikely figure of Caolan Lavery produced a brilliant last ditch tackle to prevent Marco Motta from having a clear effort on goal.
The goal took much of the energy out of the game though Watford looked likely to add to their score.
Almen Abdi hit a first time effort wide from a great position ten yards out and then drilled over the bar after a wonderful sweeping move from the hosts.
Motta scuffed a tame effort straight at Kirkland after a mazy run while Ikechi Anya drilled into the side netting.
But the Owls held into the break.
There was little change after the break though the hosts did not seem nearly as eager to net a second.
Watford did have chances and a brilliant last-ditch tackle from Buxton was required to deny Deeney early in the second half.
Attacks for Wednesday were rare and Chris Maguire wasted a good opportunity when fed into space by Will Keane, blasting high and wide.
The game petered out considerably but erupted back into life in injury time.
Maguire sent a free kick into the box and after an almighty scramble, Nuhiu hooked the ball into the ground, sending it bouncing over Heurelho Gomes to deliver late heartbreak to Watford.
With fans spilling onto the edge of the pitch, Watford had two corners to try and wrestle back the lead, with Gomes going up.
Time ran out however, leaving the Owls with another memorable result on the road to close the season.
Watford: Gomes, Angella, Layun, Deeney, Cathcart, Vydra, Anya, Abdi, Watson, Connolly, Motta.
Subs: Bond, Munari, Tozser, Forestieri, Parades, Ighalo, Hoban.
Wednesday: Kirkland, Vermijl, Lees, Buxton, Helan, Lee, Melo, Semedo, Maguire, Keane, Lavery.
Subs: Wildsmith, De Havilland, Isgrove, Maghoma, May, Nuhiu, Bus.
Referee: Lee Probert (Wiltshire).