The Owls have lost their last three games, with Jones' final game in charge a 2-0 defeat by Blackpool on Saturday.
The 57-year-old was appointed in March 2012, replacing Gary Megson at the helm and leading the club to promotion as League One runners-up.
Wednesday have won just one league game all season and are the only side in all four divisions without a clean sheet.
A brief statement on the club's official website confirmed Jones had been "relieved of his duties with immediate effect".
"The club would like to thank Dave for all of his hard work and wish him well for the future," added the statement.
The former Stockport, Southampton, Wolves and Cardiff manager took over from Megson with the club in third place in the League One table and, having got the club promoted, succeeded in keeping Wednesday in the Championship last season.
But the 2013-14 season has been disastrous for Jones and the Owls, with the club level on points with bottom club Barnsley, who sacked their manager David Flitcroft on Saturday.
He becomes the fourth Championship boss to leave so far this season, with Derby's Nigel Clough and Middlesbrough's Tony Mowbray earlier casualties.