The Phillies received shortstop Jose Gomez and right-handers Alejandro Requena and J.D. Hammer in the deal.
Neshek leaves a Phillies team with a major league-worst 35-64 record and joins a Rockies club that is 58-44 and 4½ games in front of the Chicago Cubs in the race for the National League's second wild-card berth.
"It's exciting,'' Neshek said after Wednesday's Phillies-Astros game at Citizens Bank Park. "You jump right into a playoff race. That's a great team with a great offense.
"It's bittersweet, too. I enjoyed my time here. These guys are some of the better guys I've played with, and this is one of my favorite places I've been. There's a lot of emotion.''
The Boston Red Sox, Tampa Bay Rays, Los Angeles Dodgers, Chicago Cubs and Washington Nationals all had scouts in Philadelphia in recent days to watch Neshek, but the Rockies ultimately came up with the best offer. Colorado's bullpen ranks 25th in the majors with a 4.53 ERA, and Rockies general manager Jeff Bridich had been searching for a reliable third reliever to help take the load off Jake McGee and Greg Holland.
Neshek, 36, is 31-21 with a 2.76 ERA in 11 seasons with Minnesota, San Diego, Oakland, St. Louis, Houston and Philadelphia. He was a 2014 National League All-Star with the Cardinals, and this season, he made his second career All-Star Game as the Phillies' only representative in Miami.
The Phillies acquired Neshek from Houston in a November trade and exercised a $6.5 million club option for 2017. He has been their most reliable reliever all season. He ranks second to Pittsburgh's Felipe Rivero among NL relievers with a 1.12 ERA and third in WHIP at 0.82. He began this season with a streak of 23 straight scoreless appearances at home, the most by a Phillies reliever to begin a season since at least 1913.
"I really can't say enough good things about Pat Neshek,'' Phillies GM Matt Klentak said. "From day one of spring training until today, he's been an absolute model citizen and a great teammate. And the performance speaks for itself. It was a cool moment to tell him about the trade. We'll all be rooting for him to continue his success in the second half.''
Klentak declined to handicap whether the Phillies will make any other trades before Monday's 4 p.m. ET non-waiver deadline.
The Phillies lost one potential deadline trade chip when outfielder Daniel Nava went on the disabled list with a hamstring strain. Howie Kendrick, another Phillies player who has been mentioned in trade speculation, left Wednesday's 9-0 victory over Houston in the fourth inning after being hit by a Mike Fiers pitch and suffering a bruised left hand
"Pat was the most targeted player we had,'' Klentak said. "We've received calls on some of our other players -- some more serious than others. We'll be on the phones and working as hard as we can to see what's out there. But this was definitely the one we thought was most likely.''