The former Derby County man was placed on the transfer list at the beginning of the current campaign and has failed to make an impression on manager Neil Warnock.
Earlier in the season, the 29-year-old spent some time on loan at cash-strapped Portsmouth.
Since his arrival in 2010, under Simon Grayson, Connolly has played 64 times for the club.
Speaking to the Preston official website, Connolly said:
"It is nice to let people know I am still alive, I have been really in the doldrums the last few months and I have been a tough person to live with, I am sure my girlfriend will vouch for that.
"It has been tough but I am here now and I want to show people what I have got because at times like this you start to doubt yourself and you wouldn't be human if you didn't. It is great to be here and to get everything signed and hopefully I will play my part on Saturday.
"I was given five days off by the manager at Leeds over Christmas and I hated it because I was at home in Liverpool with the family eating as much Turkey as I could and I didn't have a game the next day, it was strange and it didn't feel right. I didn't enjoy one minute of it.
"I have always played regularly wherever I have been, now and again you find yourself out of the team due to form but never for a long spell of time. This is the longest spell I have been out and it has been tough."
With Robbie Rogers leaving the club earlier today, Leeds fans nearly had a late Christmas present with two fringe players leaving in one day. Although it's only a loan deal, Connolly has a chance to show Preston and any other managers what he can do and maybe he will leave the club at the end of the season.