Neil Warnock put Connolly on the transfer list at the end of last season and the 29-year-old has not figured in the squad this term.
Connolly had a spell on loan at Portsmouth earlier this season, and he will now stay at Deepdale until the end of April.
The right-back was signed by Simon Grayson in the summer of 2010 from Derby County and has made 64 appearances for the club, 30 of which came last season.