The actor broke the news during an interview with David Letterman for the "Late Show" on Wednesday.
"I'm definitely done," Sudeikis told Letterman. "Yeah, I'm going to leave. I'm not coming back next fall."
While the actor's departure is sure to leave "SNL" with one less funnyman, fans can still get their share of Sudeikis when he stars in "Horrible Bosses 2" releasing in 2014.