Indeed, Tony Pulis' sudden exit after just 45 days at the club has added another twist to an already drama-packed season.
Now, the Owls are striving to appoint their third manager of the campaign as quickly as possible, in order to find some much-needed stability and avoid relegation to League One.
Last night, Sheffield Wednesday stand-in boss Andy Holdsworth hailed the performances of his younger players in a solid 2-0 FA Cup win over Exeter City.
The Owls sailed through to the fourth round courtesy of goals for Adam Reach and Callum Paterson but much of the focus will be on a brave display from a defence including rookies Ciaran Brennan, Ryan Galvin and man of the match Liam Shaw, who raced the length of the pitch to assist Paterson.
Here's our rundown of OddsChecker's latest front-runners who could become the next Sheffield Wednesday manager.
1. Paolo Di Canio - Current odds: 33/1
Current job: Unemployed. Last job: Sunderland. Career win percentage: 52.8%
Photo: Michael Regan
2. Martin Poustka - Current odds: 33/1
Current job: Slavia Prague. Career win percentage: N/A.
Photo: George Wood
3. John Terry - Current odds: 33/1
Current job: Aston Villa (assistant head coach). Last job: N/A. Career win percentage: N/A%
Photo: Catherine Ivill
4. Steve McClaren - Current odds: 33/1
Current job: Derby County (technical director). Career win percentage: 44.2%
Photo: George Wood