Connolly has been with Wanderers since he was 16 when they paid Wolves £1million for his signature.
He has now been allowed to move to McDiarmid Park in order to gain some first-team experience.
"Mark comes very highly recommended by Gary Megson and I have seen him in action on a couple of occasions myself," said Saints boss Derek McInnes.
"I've obviously been able to speak to Owen Coyle about him and he also rates Mark but feels he needs a bit more experience and I am sure he will be an asset to us for the remainder of the season."
Connolly could make his Saints debut in Wednesday night's Co-operative Insurance Cup semi-final against Rangers at Hampden Park.