Ninkovic, who played 181 games for Sydney FC across seven seasons, joins the Wanderers on a one-season contract after a failure to agree to terms with the Sky Blues.
The midfielder claimed in an interview in his native Serbia that he was offered a new playing contract with Sydney on the proviso he applied for an Australian passport.
That move would have reduced the Sky Blues' A-League Men visa spots and allowed them to bring in another foreign import.
Ninkovic, who is a permanent resident of Australia, claimed if he didn't get the passport in time for the new A-League Men season he would have been moved into a non-playing role.
The 37-year-old rejected that proposal, insisting he has more to give and has opted to stay in Australia by linking with the Wanderers.
"Milos has extensive knowledge of the domestic football landscape and has unrivalled experience having played in it for the last seven seasons," Wanderers manager Mark Rudan said.
"Milos is a winner and has big ambitions to continue that trend in his career so we are thrilled to have his influence in the playing group this season."
Serbia international Ninkovic was twice named the Johnny Warren medallist and has been offered an off-field role with the Wanderers following the completion of his playing contract.
"I am very excited to start a new chapter of my career in Western Sydney with the Wanderers and I am ready to embrace all the challenges that will come my way," Ninkovic said.
"Having played against the Wanderers for the last seven years of my career, I know that they are a very tough team and that they will always fight until the end, so I am excited to be part of building on that culture in the season to come.