The Owls opened the season with a 2-2 draw with Barnsley having been 2-0 up and they thought they were on their way against Posh when Marcus Tudgay crossed for James O'Connor to head them in front after 21 minutes.
Posh had goalkeeper Joe Lewis to thank for denying Jermaine Johnson a second for the Owls and the home side took full advantage when Tom Williams crossed for Craig Mackail-Smith to level just after the hour mark.
Both sides pushed for a winner and Tommy Miller fired over from inside the box for Sheffield Wednesday as they had to settle for a point.
The home side started well and had the first meaningful chance after seven minutes when George Boyd's corner found Gabriel Zakuani but he could only direct the header over.
Four minutes later Aaron Mclean broke the offside trap and his attempted lob found the roof of the net.
Wednesday duly found their rhythm and made Posh pay for their profligacy with 21 minutes gone when Tudgay crossed from the right and O'Connor headed them in front.
The visitors immediately went in search of a second and in-form Johnson turned well before firing over the bar from 25 yards.
Posh almost found a way back into the game when Mackail-Smith won a corner and another Boyd corner was met by Zakuani who sent a downward header into the arms of Lee Grant.
Moments later Peterborough goalkeeper Joe Lewis had to be alert to tip a Darren Purse cross over the bar before producing another good save to deny Tudgay from the resulting corner.
Peterborough could have been level just before the break when Paul Coutts' corner found Charlie Lee who headed wide from close range.
The Owls made the brighter start in the second half and three minutes after the restart Johnson hit a superb first-time volley from Tudgay's flick but Lewis produced another fine save.
The home side gradually began to dominate once again and Coutts found Boyd who let fly but saw his shot deflected into the grateful arms of Grant.
Peterborough were pressing and got a deserved equaliser just after the hour mark when Williams embarked on a fine run down the left and crossed for Mackail-Smith who headed in from close range.
Cue pandemonium at London Road and Posh sensed a second goal was in the offing as Mackail-Smith volleyed wide before Purse blocked a shot from Boyd.
At the other end substitute Miller had a good chance to win it for Wednesday when he was found by Michael Gray's corner but failed to hit the target.