Substitute Steve MacLean missed a great one-on-one chance late on as well as Deon Burton missing a few opportunities - but the defence held on.
Brazilian legend Romario was left on the bench because of an injury while the ten of the eleven Owls players on show played the full 90 minutes.
Sturrock, who knows his squad still need to pick up their fitness told the club's official site: "It shows that we have done a lot of work on fitness. They showed a sharpness but we showed we could match that.
"If anyone was going to score, it was going to be us but the finishing was poor. We had several chances and should have buried the game in the first half."
Wednesday team: Adamson, Simek, Bougherra, Coughlan, Bullen, Brunt, Folly, Whelan, O'Brien, Lunt (MacLean 76), Burton.