Foxes land Connolly and Keown
Last Updated: 01/01/70 1:00am
The news comes as former Arsenal defender Martin Keown completed his switch to the Midlands outfit on a one-year contract on Tuesday.
Connolly, 27, was a target of Mick McCarthy's Sunderland this summer, but decided to sign a three-year contract with the Walkers Stadium club instead.
The move ends the Republic of Ireland international's one-season spell with The Hammers, having joined the East London outfit for the start of last season from Wimbledon.
Foxes boss Micky Adams was delighted to find a replacement for the departed Paul Dickov, who joined Premiership club Blackburn Rovers.
"We needed to replace Paul Dickov, which is a hard act to follow," Adams told the club's official website.
"But in David, we have signed someone with a proven goalscoring record.
"He averages one goal every two appearances for his league clubs and one in four for his country - for whom he has won 40 caps.
"We are hoping that he scores the goals that will hopefully put us in the promotion picture."