The 24-year-old's move can be made permanent at the end of the season.
McKennie made 15 Serie A appearances for Juventus in the first half of the season, scoring one goal.
The United States international joined Juventus from Schalke 04 initially on loan in the summer of 2020 before making the move permanent at the end of the season.
McKennie is Leeds United's third signing of the January transfer window after Maximilian Wober and Georginio Rutter.
Speaking to Sky Sports after sealing his move to Leeds, McKennie said: "I'm definitely excited. The January window works quick. Around one week ago I didn't know if I was going anywhere and now I'm coming here.
"When I heard the interest, it is definitely exciting. There are people I know here, Tyler Adams, Brenden Aaronson and Jesse Marsch, I'm ready to get started.
"I've heard the support is amazing, the atmosphere too - that's an adrenaline rush for me to come out and see fans going crazy. It's like a 10-times energy boost. Elland Road is dope! The stadium is really nice. It's top level."
Leeds' sporting director Victor Orta added on the club's official website: “I am really happy, I think it is a good addition for Leeds United.”
"He is a player who is at international level, which is really helpful for the squad and someone who will strengthen us.
“Weston is a versatile player who will be able to adapt quickly, helped by his knowledge of the other players in the team. I think it gives Jesse Marsch balance in his team and more options, with a player who can grow within the transition of English football.
“We hope he can adapt quickly with the rhythm here after playing in Italy. To have Weston on loan with an option to buy is a really good situation for Leeds United.”
McKennie can make his debut against Nottingham Forest in the Premier League this weekend.
