According to the Daily Mail, the Owls, along with both Norwich City and Brentford, are keen to take the 20-year-old on loan.
Sinclair has played just 78 minutes of senior football since joining Watford from Liverpool in July - a deal which is said to have cost the Hornets £4 million.
Watford's Jerome Sinclair in action against Manchester City
The England Under-20 international should be familiar to Wednesday, having scored the only goal for his side in a 4-1 defeat to the Owls at under-23 level earlier this season.
He would likely find first team football hard to come by at Hillsborough, however, with head coach Carlos Carvalhal's options already comprising Steven Fletcher, Fernando Forestieri, Gary Hooper and Lucas Joao.
Former Watford favourite Fernando Forestieri (centre) is one of the Owls' key players
Wednesday, who have taken Forestieri, Almen Abdi, Daniel Pudil and Lewis McGugan from the Hornets in recent seasons, recently handed a Championship debut to their own teenage striking prospect, George Hirst.
Should Sheffield Wednesday consider a move for Jerome Sinclair in January?