Crystal Palace F.C. also announced the capture of Celtic midfielder Joe Ledley, Hennessey's Wales team mate, and Blackburn Rovers defender Scott Dann, all for undisclosed fees, while Tom Ince joined on loan for the rest of the season.
Winger Jason Puncheon has also signed on a permanent deal from Southampton having been on loan at Selhurst Park.
The 27-year old Hennessey has 41 caps, having made his debut in 2007. Wolves were his only previous club although he was on loan at Championship side Yeovil Town earlier this season.
He was the first signing of the transfer window for Crystal Palace F.C., who have moved out of the relegation zone after winning six of their 12 league games under new manager Tony Pulis.
Ledley, 27, joined close to the transfer deadline on a 3-1/2 year deal having won two Scottish Premier League titles and played in the Champions League during 3-1/2 seasons with Celtic.
He began his career at Cardiff City where he made over 250 appearances after his debut in 2004. He joined Celtic as a free agent and scored 30 goals in 153 games in all competitions.
Dann, 26, who has signed a 3-1/2 year deal, played over 100 times for Blackburn and captained the side, having previously had spells with Birmingham City, Coventry City and Walsall.
England under-21 international midfielder Ince, 22 on Thursday, has joined from Blackpool where his father Paul, the former England midfielder, was sacked as manager this month.
Puncheon, 27, has signed a 4-1/2 year deal having been on loan from fellow Premier League side Southampton since August.
Leaving Crystal Palace F.C. was Spanish midfielder Jose Campana, 20, who moved to German side Nuremburg on loan to the end of the campaign. He had joined from Sevilla in the close season.