McSheffrey, who is part of the Soccerockz Football Coaching scheme along with former Sky Blues Craig Pead and Tom Cudworth, has been on the fringes of the Birmingham City squad since Alex McLeish was appointed as Blues boss.
He has had talks with Leeds and agreed the deal today which sees him team up again with best mate Michael Doyle, who is on a season long loan at Elland Road.
Leeds boss Simon Grayson told the Leeds United website: "Gary brings plenty of experience and he is a good signing. "He will add quality to the squad. He is a threat and he can play a number of positions.