He made only one appearance for Forest (in a League Cup tie against Huddersfield) before joining Sheffield Wednesday on 3 November 1989. It was with Sheffield Wednesday that Sheridan played arguably the best football of his career, scoring 33 goals in 243 appearances. Sheridan scored a "rocket" goal in Wednesday's 1–0 win over Manchester United in the 1991 Football League Cup Final. He also helped Sheffield Wednesday win promotion that season, while they were managed by Ron Atkinson. Atkinson then departed to Aston Villa in June 1991 and veteran player Trevor Francis took over as manager. Sheridan remained a key part of the team under Francis, helping them finish third in the league in 1992, reach both domestic cup finals in 1993 (where they were beaten 2–1 by Arsenal in both finals) and also reached the League Cup semi-finals in the 1993–94 season.