While financials details of the deal have not been disclosed, Leicester are thought to have paid approximately £450,000 in compensation for the 20-year-old, who was out contract with the League Two outfit.
The highly-rated youngster, who can play both as a striker and in midfield, came through the ranks at the Ricoh Arena, where he made his debut at the age of 16. He also scored the winner in last season's EFL Trophy final success over Oxford United.
Thomas, who has represented Wales at under-17, under-19 and under-20 level and scored nine times in 36 professional appearances for the Sky Blues, spoke of his excitement at joining a Premier League club.
"I'm buzzing, I'm delighted to get it over the line finally and I'm looking forward to the season coming and seeing what I can do," he was quoted as saying by Leicester's official website.
"I've seen a few of the boys in the changing room. It's all good at the minute. The facilities are unbelievable and I just can't wait to get started."
Thomas, who scored both goals in Wales Under-20's 2-2 draw with the Ivory Coast in the group stage of this summer's Toulon Tournament, added that the prospect of playing for his hometown club played a role in his decision.
"It's my hometown, I only live 10-15 minutes away in Wigston. It's always good to play for your hometown team so hopefully I can push on from here," he explained. "I've played 50 odd games at professional level so maybe I have got that head start over other 20-year-olds in the country.
"Hopefully I can use that experience [with Wales] to get into the first team here. I'm thankful to them for giving me my chance, it's always a good experience. It helps me too to be playing against the top players from all over the world."