The Millers have paid an undisclosed amount for the 23 year old defender and he signs a contract to keep him with the Millers until the summer of 2023
He played nearly 20 times for the Blues last season, and can play either centre half or full back, giving the Millers options at the back.
Assistant boss Richie Barker told the Advertiser; "He can fill in in more than one position and that is what attracted us to him. With the number of midweek games and matches all crammed together this season, we are going to need people who can do that."
Meanwhile Warney told the official site:
"We're trying to sign players who don't need loads and loads of our attention. I know that sounds awful but we need players who can come in and if need be, play the first game of the season. We've tried to take, in our opinion, our level of recruitment up a bit."
"Wes is someone that I know played a lot of games last year and has been in and out of Birmingham's team and has played in many positions."
"He is a really good footballer, who crosses a really good ball. My son told me yesterday that everyone is buzzing because he can throw it over 10 metres. He suits us. He is aggressive and he wants to get forward. He isn't like a sedentary right back who just sits there and plays, he's dynamic.
"He's from a really nice family, he's a really good kid and he's played 50 odd Championship games before he was 22."