Dendoncker, 23, has regularly been linked with some of Europe's biggest clubs, including Atletico Madrid and Manchester United, but he becomes the latest eye-catching signing secured by Wolves.
Despite only being promoted last season, Wolves had already signed the likes of Adama Traore, Willy Boly, Joao Moutinho, Raul Jimenez and Rui Patricio before the transfer deadline.
Dendoncker, who has been capped six times by Belgium, joins the list, arriving on an initial one-year loan deal.
It is unclear how much Anderlecht stand to make in the deal when it is made permanent, but as recently as January club general manager Herman van Holsbeeck was demanding £27million for him following reports of United's interest.
Dendoncker was present in Belgium's squad as it reached the World Cup semi-finals in July, making one appearance in Russia.
Competent both in midfield and at the back, Dendoncker is expected to go straight into Wolves' squad and could make his Premier League debut against Everton.