Owls goalkeeper Lee Grant saved Paul Coutts' left-foot shot after five minutes.
Jermain Johnson went off injured in the ninth minute and was replaced by Tom Soares. Preston goalkeeper Andrew Lonergan saved from Luke Varney's effort from Eddie Nolan's cross after 11 minutes.
After 18 minutes a left-foot left-wing corner by Ross Wallace was met by Billy Jones whose effort was tipped over.
Nolan crossed to Marcus Tudgay who charged into the area past Jones and Lonergan pulled off a great block from his shot, making himself big in the process after 22 minutes.
Coutts found Jones who made a great run and crossed to Preston striker Neil Mellor in the six-yard box and he drilled the ball through the legs of Lee Grant low into the middle of the goal to make it 1-0 in the 29th minute - his tenth goal of the season.
Mellor's left-foot shot after 34 minutes was deflected over by Grant and Wallace's left-wing corner found Chris Brown on the edge of the area and his right-foot volley was palmed over.
Sean St Ledger fouled Tudgay and Darren Potter's free-kick went straight into the wall and the ball eventually fell into the grateful arms of Lonergan after 36 minutes.
Tudgay had a 12-yard overhead kick saved but the linesman's flag was up.
Jones found man-of-the-match Coutts who took a touch from a wide area and drilled the ball through Grant and into the bottom corner from close range low into the middle of the goal to make it 2-0 in the 53rd minute.
A speculative long-range effort by Tommy Miller bobbled over Lonergan into the bottom left for 2-1 in the 57th minute.
Tudgay was played through with Liam Chilvers unable to get to the ball, Tudgay nipped in and dinked the ball over the advancing Lonergan from the edge of the area low into the middle of the goal to make it 2-2 in the 60th minute.
Jon Parkin replaced Chris Brown in the 61st minute. Danny Mayor replaced Chris Sedgwick and Leon Clarke replaced Varney in the 66th minute.
Tudgay's shot was saved after 70 minutes. Tommy Spurr's cross found James O'Connor and his shot from outside the area was saved after 83 minutes. Clarke had a shot saved after 84 minutes.
Potter's corner led to a Clarke shot being saved a minute later. Tudgay broke away again but Lonergan was out quickly and blocked with his feet. Keith Treacy replaced Wallace in the 88th minute.