Cockayne, 30, has signed a two-year deal with Rovers, the club he left in 2011 after a series of disciplinary problems.
He said: “Coming back here was something I always thought I’d like to do. But for it to happen now when I feel as though I’m playing some of my best rugby is great and I can’t quite believe it really. I’m really happy, I have a bit of repaying to do and am looking forward to doing that.
“I’ve grown up a fair bit in the past couple of years.
“I’ve learnt a few of life’s lessons the hard way and my life has gone full circle since I was last with the club.
“’m a different person now and just want to repay a few people who have shown some faith in me.”
Cockayne becomes the fifth senior player to leave the Wildcats, as the club looks to raise money to prevent a financial collapse.
Hull KR coach Craig Sandercock said: “I’m looking forward to working with Ben and he’s gone really well over the past couple of seasons. I’ve had a good chat with him and he’s coming back here for the right reasons. He’s a good player and I’m expecting him to come here and do well for us.”
Cockayne scored 57 tries in 139 appearances for the club between 2006 and 2011, helping them to achieve promotion to Super League in his first season.