Grant Leadbitter's first goal for Sunderland claimed the points in a contest full of chances. Wednesday's Drew Talbot got the ball stuck under his feet when alone in front of goal while Sunderland's Dean Whitehead hit the post after the break.
And both sides also saw strong penalty appeals turned down.
Leadbitter broke the deadlock in the 58th minute, powering the ball home after the visiting defence failed to react to Liam Lawrence's cross.
Sunderland manager Roy Keane:
"For one reason or another since I've been here he's not had many chances, but now he's taken it.
"I spoke to Grant a couple of weeks ago and he's a very level-headed lad. He understood what I needed to do and why he had to wait.
"The players showed me a lot - it was exactly what I wanted."
Sheffield Wednesday manager Paul Sturrock:
"Our season starts on 14 October.
"We've got a lot of players to come back from injury.
"We've been competitive in every game but we've lost too many of them 1-0.
"I shook every player's hand because the only thing I didn't get out of them was blood."
Sunderland: Alnwick, Nosworthy, Cunningham, Varga, Danny Collins, Lawrence, Leadbitter, Whitehead, Hysen (Liam Miller 74), Murphy (Brown 84), Yorke (Connolly 89).
Subs Not Used: Ward, Robbie Elliott.
Booked: Whitehead.
Goals: Leadbitter 58.
Sheff Wed: Jones, Simek, Bougherra, Coughlan, Spurr, Brunt, Folly (Adams 76), Tudgay, O'Brien, Burton (Small 65), Talbot (MacLean 76).
Subs Not Used: Bullen, Lunt.
Booked: Coughlan.
Att: 36,764
Ref: S Mathieson (Cheshire).