The 26-year-old ended a difficult 12 months at the Riverside Stadium by joining the Sky Bet Championship Owls on loan until the end of the season, though the move did not get ratified until after the transfer window had shut.
Rhodes arrives at Hillsborough with a similar mission statement to when he joined Boro - to help them win promotion to the Premier League - but hopes it will go better in South Yorkshire after managing just 24 appearances for Aitor Karanka's side.
"I love playing football, its all I've ever wanted to do and when you can't do that on a Saturday afternoon and even worse you cant be a part of this, it hurts," he said
"You're sat there on a Saturday and see everything come in and you feel quite distant from football
It has been tough, I've tried to keep myself ticking over mentally and physically
"I've taken coaching badges just to keep doing something and keep active and not let myself get into a spiral and a bad state
"I've learned a lot about myself this last six months, hopefully I will be better in the long run and stronger going forward
It isn't nice so that's made me more hungry and desperate to make up for lost time and make an impact here at the club."
There is a suggestion that Rhodes, who cost Boro £9million last year, was a signing of chairman Steve Gibson rather than Karanka but there are no regrets
"I've heard the reports, I'm not sure what the answer is to that, you'd have to ask the manager up there," Rhodes added
"All I can say is it was a real privilege to play for Middlesbrough Football Club
I've made some friends for life up there, the supporters were fantastic whenever I had time on the pitch and I'd like to just thank them home and away for all they did for me
"I just tried to work as hard as I can, doing my bits afterwards, doing my swimming at night just trying to get myself in the best condition for if I was called upon
Unfortunately I wasn't called upon too much, but I tried my best when I was wearing the red of Middlesbrough
"I gave my all
I can look back, I've not got any regrets
I did all I could do and the fans were great."
Rhodes arrives at a club he knows well as his dad Andy is the goalkeeping coach and he is relishing pulling on the blue and white
He said: "I've wanted to play for Sheffield Wednesday now for a few years
I've been coming here, watching the odd game, when I was with Huddersfield and Blackburn and Middlesbrough, coming to Hillsborough and watching my dad's team you can feel the history and atmosphere all around the place, it's a club with great tradition and to be here as a Sheffield Wednesday player is a pretty good feeling
"Its a club that I've always held dear to my heart
I love Hillsborough
I've got good memories and my dad on the staff here it great to walk out there
Now Its going to be my home ground, it will be fantastic to play there."
Source : PA
Source: PA