King Ecgbert, part of the Mercia Learning Trust, also boasts England cricket captain Joe Root among its notable alumni.
Head teacher Peter Haigh said Dame Jessica was the “perfect” role model for pupils.
He said: “I’ll remind students that she stayed here, passed all her GCSEs, went to sixth form, passed all her A-levels and then went to university and got a degree in psychology here in Sheffield as well as going on into sporting excellence.
“What’s telling is that most children go to state schools but maybe as a country we don’t celebrate their achievements as much as an elite minority.
“Talent and ability, the quality of young people, that’s the same throughout the country regardless of what kind of school you go to.”
