In-form Rochdale extended their unbeaten run to ten games to deny Gary Megson a winning start at Spotland on Saturday.
The new Owls boss was officially in charge for the first time but a first half own goal from Mark Beevers and a Gary Jones penalty ensured Wednesday returned home over the Pennines pointless.
Substitute Gary Madine halved the arrears at the death after an improved second half display but it was too little too late for Megson's men.
Megson rang the changes in Lancashire, with starting shirts for Nicky Weaver, Mark Reynolds, Mark Beevers, Darren Potter and Neil Mellor in a 3-5-2 formation.
Clinton Morrison assumed captain duty in place of Weaver given Megson's preference for an outfield player to carry the armband.
Both sides looked lively in the early exchanges that were fiery to say the least - ex-Owl Brian Barry-Murphy was forced out of the action on eleven minutes following a clash of heads with Giles Coke that saw the Wednesday man return to the field heavily bandaged.
Potter headed against the post from 18 yards with Owain Fon Williams off his line from the first chance of the game but it was Dale that stole into the lead on the 15-minute mark.
Nicky Adams split the Owls' defence with an accurate ball for Scott Wisemans, who sprinted up the right channel to fashion a low cross which appeared to deflect in off Beevers.
The game settled into a pattern with the home side in the driving seat and Rochdale duly went two goals to the good on 28 minutes. Mellor tripped Done in the box, the referee pointed to the spot and up stepped skipper Jones to do the honours from the spot.
Wednesday switched to 4-4-2 but Done could and should have made it three ten minutes before half time. The Dale dangerman drifted into the area unmarked but somehow failed to get any contact six yards out after Adams found space to cross from the right.
Clinton Morrison curled wide in a rare counter before the same player's tame effort from ten yards rolled into Von Williams' arms and summed up a flat first half for Wednesday.
Megson introduced Madine for Mellor for the second period and although chances were few, the Owls certainly upped the ante after the break. There was far more purpose and drive shown by the visitors and the ball was rarely out of the Rochdale half.
The best opening fell to Madine on 63 minutes after a clever link-up between Clinton Morrison and Lewis Buxton but the striker just couldn't get the ball from under his feet.
Weaver was then called into action when Done broke free down the middle and the keeper did well to thwart the danger.
Play soon reverted to the Dale half as Wednesday turned the screw. Madine and James O'Connor had goalbound efforts blocked and it was fair to say the Owls deserved something for their toils.
And they did pull one back in the last minute when Madine glanced in Buxton's cross but Rochdale held out to keep Wednesday at bay and take the points through their superior first half display.
Rochdale: Von Williams, Wisemans, Widdowson, Holness, Dawson, Barry-Murphy (Done 11), Kennedy, Jones, Atkinson (Akpa Akpro 67), O'Grady, Adams
Unused substitutes: Edwards, Williams, Thompson, Dickinson, Gray
Owls: Weaver, Buxton, Reynolds, M Morrison, Beevers, Jones, Potter (Osbourne 64), O'Connor, Coke (Sedgwick 85), Mellor (Madine 46), C Morrison
Unused substitutes: Jameson, Hinds, Teale, Heffernan,