Goals from Mike Jones and substitute Chris O'Grady towards the end of each half saw Dave Jones' Owls come out on top in Albufeira.
Royals created a string of chances on Tuesday night, with Nicky Shorey hitting the bar and both Garath McCleary and Simon Church going close.
But Jones put Sheffield Wednesday in front seconds before the interval with an excellent strike from outside the box.
Reading, with Pavel Pogrebnyak up front, continued to look dangerous and Adam Le Fondre saw an equaliser scrubbed out for offside.
Skipper Jobi McAnuff also forced a fine save from Owls keeper Stephen Bywater then Le Fondre went close again to drawing his side level.
However, with Royals pushing forward late on, Mikkel Andersen saved from Marlon Harewood only for O'Grady to slam home the rebound and end hopes of a comeback.
Royals boss Brian McDermott fielded 21 different players on the night with Pogrebnyak playing 45 minutes.
Owls target Michail Antonio also played the second-half, with Jones reported to be preparing a second bid of around £700,000 for the winger.
With Royals drawing 1-1 with CDR Quarteirense last Saturday, it means McDermott's men must now beat Olhanense at the Jose Arjanco Stadium in Olhao this Friday night (8pm ko) or risk ending their tour without a victory.
Reading team: First half (4-3-3): Andersen; Cummings, Shorey, Gorkss (c), Mariappa; Leigertwood, Tabb, McCleary; Church, Hunt, Roberts. Second half (4-4-2): Andersen; Gunnarsson, Harte, Morrison, Pearce; Guthrie, McAnuff (c), Antonio, Robson-Kanu; Le Fondre, Pogrebnyak. Sub not used: Henly.