Jones has led the South Yorkshire club to just one win from their 17 matches in all competitions this season and has now paid the price for that dismal record.
"The club would like to thank Dave for all of his hard work and wish him well for the future.
"Sheffield Wednesday will be making no further comment at this time."
Jones took the reins at Hillsborough in March 2012 on a three-and-a-half-year contract, replacing Gary Megson despite the club riding high in third place in League One at the time.
Jones duly guided the Owls to second place and automatic promotion into the Championship following a two-year hiatus from the second tier.
Wednesday were subsequently embroiled in a scrap for survival last season but Jones, who had formerly managed Stockport, Southampton, Wolves and Cardiff, guided the club to safety and an 18th-placed finish - four points clear of danger.
However, this season's start has been hugely disappointing and chairman Milan Mandaric has taken the decision to relieve Jones of his duties.
Speaking after Saturday's defeat to Blackpool at Bloomfield Road, a defiant Jones said: "This club has had 12 or 13 managers in recent years but sacking managers isn't the way forward.
"We're all fighting for our jobs, but players have to start putting chances in the back of the net.
"I don't have a magic wand and the problem is there is a little bit of fear in the players at the minute. But they shouldn't be fearful - things can't get any worse.
"I speak to the chairman every single day and you'll have to ask him if he's going to get rid of me. I don't know the lottery numbers and I don't know what my future will be either.
"It's frustrating. We've worked at things and you can see it coming but players have a responsibility."
Jones' departure comes after the Championship's bottom club Barnsley sacked boss David Flitcroft after their 3-0 home defeat to Birmingham on Saturday.
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