The 24-year-old, a former Portugal U21 international. joins from Vitoria Setubal, the side he has captained for the past three seasons, playing 134 times.
Venancio has become Sheffield Wednesday's second summer signing following the addition of George Boyd to Carlos Carvalhal's side.
The defender told the club website: "I've been waiting for this moment for so long to come to the English Championship, it's like a dream come true.
"I think my game is suited to England, I'm aggressive and I like to play my football at the same time.
"In Portugal, there are three teams that challenge but here in England in the Championship as, as many as 12 teams or more can challenge.
"It is such an exciting division and I'm so pleased I'm here.