The 28-year-old Scottish defender, who was available on a Bosman free transfer having been released by The Foxes at the end of last season, has signed a three year deal at Deepdale.
"It has taken a while to get all the loose ends sorted on this deal," chairman Derek Shaw told the club's official website.
"We are very pleased Callum has agreed a three-year deal with us.
"We released two left-sided players and then sold Mikey Keane to Hull, but Callum will give us plenty of quality and experience down that side."