Latics have conceded 41 goals in 19 Premier League games this season and Roberto Martinez described his new recruit as "a commanding defender".
"Gary is a leader and he is exactly the right character we need at the club," the manager told the club's official website.
"He is a commanding defender who will lead by example on and off the pitch.
"He has been part of a winning team at Celtic and brings with him great experience, having won league titles and cups and played in the Champions League.
"He is a winner and will become a huge asset for Wigan Athletic."
Caldwell becomes Wigan's third signing of the January transfer window following the captures of Serbian goalkeeper Vladimir Stojkovic and Ivory Coast defender Steven Gohouri.
Caldwell, who took part in his first Latics training session on Wednesday morning, had been linked with Middlesbrough, where he would have teamed up with former Celtic boss Gordon Strachan.
But Wigan won the race for his signature after turning their full attentions to Caldwell having initially expressed an interest in Rangers defender Madjid Bougherra.
Caldwell made 151 appearances in all competitions for the Hoops, scoring seven goals, since joining from Hibernian in the summer of 2006.
He won two Scottish Premier League titles, one Scottish Cup and one League Cup during his three-and-a-half years at Parkhead.
The Stirling-born former Newcastle trainee was also named 2009 SPL Player of the Year.
Despite falling down the pecking order under Tony Mowbray and subsequently losing his Scotland place, Caldwell believes he is entering his prime.
"I feel like I'm coming into the best years of my career - as a defender once you get into your 30s I think you do your best stuff," said Caldwell, who discussed the move with brother Steven, the Burnley captain, and could make his debut against Wolves on Saturday.
"Hopefully Wigan have got my best years and I'll do well for the club."
He described leaving Celtic - the club he supported as a boy - as a "wrench" but was lured by the prospect of playing in the Premier League and was persuaded to move to the DW Stadium by the enthusiasm and drive of Martinez.
"The manager made it quite clear what his ambitions are for this club and how much he wanted to bring me here," he added.
"To play in the Premier League has always been an ambition of mine but I know how tough it's going to be to get in the side and I need to focus on winning a place and doing the best I can for my new club.
"It's a massive wrench for me to leave a club like Celtic but I want to thank the club and all the fans for the support they've given me in my time there.
"But I'm a Wigan player now and I can't wait to get started in the Premier League."
Caldwell is under no illusions at the difficulty Wigan face in preserving their top-flight status.
"You look at the league table and it's very tight," he added.
"But there are a lot of teams worried and it's going to be a dogfight right until the very end.
"There's some great players in this team and we've got a squad that's good enough to stay in the Premier League and progress from there."
Craig Gardner's Club after Jan Transfer Window. Click here to bet.