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| PHOTO: David Jones/Twitter |
The former Arsenal legend has been on Sky's main rota of experts alongside Gary Neville, Jamie Carragher, Jamie Redknapp and Graeme Souness since 2015.
His contract with Sky was to expire in January with an option of a further two years with the broadcaster.
But returning from the World Cup - where he has been part of Belgium's backroom team - Henry has decided to leave Sky.
"Over the last four years I have had some extremely rewarding coaching experiences in football. These experiences have only made me more determined to fulfil my long-term ambition to become a football manager," he explained.
"It is with sadness, therefore, that I must leave Sky Sports to enable me to spend more time on the pitch and concentrate on my journey to achieving that goal.
"I would like to thank everyone at Sky for making me feel so welcome and at ease throughout my time with them and I wish them all the best for the future. Great memories," the 40-year-old concluded.
Sky Sports boss Barney Francis said the broadcaster had "loved having him as part of our coverage".
"He has helped take viewers closer to the game, getting tremendous insight in speaking to the biggest names in football and analysing matches as someone fresh from the dressing room of the biggest clubs," Francis said, adding he had Sky's full support in his decision to concentrate on his coaching career.
Sky's main Premier League presenter David Jones said Henry was a "great guy" and "absolute gent" and added it had been a pleasure working with him.