The England Under-21 international had been scheduled to stay with Leeds until the end of the season when he first arrived at the club in late February.
"We're disappointed to lose Connor, but I'd like to thank Gus for allowing him to come here," said Leeds boss Brian McDermott.
"He has done extremely well for us and we wish him well for the future."
Wickham made five appearances for McDermott's side since making his debut in the draw at QPR earlier this month, but failed to score during his stay.
The 20-year-old, who passed up the chance of being involved in Sunderland's Capital One Cup final squad at Wembley in order to join Leeds, scored eight goals in 11 appearances for Sheffield Wednesday while on loan there earlier this season.
Sunderland paid Ipswich £8.1million for the striker in June 2011, but he has started just nine league games for the Wearside club.
- Sports & Recreation