The former Scotland manager has parted the City Ground by mutual consent after only 41 days in charge due to a "difference in the understanding" of the club's development strategy
The former Aston Villa manager oversaw one win, two draws and four defeats during his brief spell at the club after he replaced Sean O'Driscoll in December.
McLeish cited a "difference in the understanding of the development strategy" at Forest as the reason for his mutually-agreed departure.
"I am extremely saddened to be leaving after such a short period but even so it has been a privilege to be manager of such a fantastic football club and I want to thank the players, staff and fans for their support and wish Nottingham Forest the best of fortunes ahead," he said in a club statement.
"Both parties entered into the relationship in good faith, however, there was a difference in the understanding of the development strategy of the football club and it was felt by both parties that we should part company."
Forest chairman Fawaz Al-Hasawi, whose family took over the club in July, expressed his disappointment at the temporary nature of McLeish's reign.
"I'm bitterly disappointed - as is Alex - that it has not worked out as we had hoped when he became our manager and I would like to put on record my thanks for his services to the Club and wish him every success in the future," he said.
The 11th-place Championship club drew the anger of the Peterborough hierarchy on transfer deadline day when they withdrew from a deal to sign George Boyd after an "inconclusive eye test".
That led to reports of a rift between McLeish, who had targeted Boyd, and Al-Hasawi, which were denied by the Kuwaiti on Friday.