The Manchester United striker had been touted to join the Bantams for most of the window after his parent club recalled him from Northampton.
But the Bantams waited until he had recovered from a minor ankle injury before unveiling him as their deadline-day recruit.
Wheatley, who will wear the number 27 shirt, revealed that had been in talks with the club for some time and he was delighted to make the move to Valley Parade.
He said: “I am buzzing. We have been in discussions for quite a while and I am excited to get the deal done and hopefully help the lads for the rest of the season.
“I hope I can add to the side after the strong start they have made and score goals. The last couple of months at Northampton, I grew as a player, and I want to continue doing that here.”
Wheatley made 25 appearances for the Cobblers, with 20 league starts, and scored three goals. He featured against the Bantams in the goalless draw at Sixfields in the opening away game.
The 6ft 2in 20-year-old joined Walsall last January and made his Saddlers debut from the bench at Valley Parade in City’s 3-0 win.
Wheatley, who has also represented England at a youth level, joined Manchester United’s academy at the age of nine and made his Premier League debut in April 2024.
They recalled Wheatley from Northampton early in the window, feeling he would benefit from a move elsewhere.
He missed the last couple of games nursing an ankle injury suffered against Huddersfield but is now over that and ready to get going as a City player.
Bantams boss Graham Alexander said: “We are delighted to bring Ethan in to bolster our attacking options. He has fantastic attributes for a forward player, with plenty of League One games under his belt this season already.
“He showed a great desire to join us when we spoke and I believe he is going to enjoy his time with us.”