Henry, who joined the Sky Sports team in 2015, has been Belgium's assistant manager since 2016 under Roberto Martinez, and returns from this summer's World Cup after a third-place finish in Russia.
The 40-year-old has offered his expert analysis on English football's biggest matches over the past three-and-a-half seasons, as well as interviewing the Premier League's top names in Paul Pogba, Alexis Sanchez, Harry Kane and more.
Henry said on social media: "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.
“It is with sadness, therefore, that I have decided that I must leave. SkySports 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.
" During his playing career, Henry lifted more than 35 major individual and team trophies including the World Cup and European Championship for France, the Champions League and La Liga with Barcelona, the Premier League and FA Cup at Arsenal, the French League at Monaco and the MLS Shield with the New York Red Bulls.
He was twice winner of the European Golden boot, four times winner of the English Premier League Golden Boot, five times winner of the French Player of the Year, three-time winner of the Football Writers' Association Footballer of the Year at Arsenal and twice winner of the PFA Players' Player of the Year.
Sky Sports managing director Barney Francis said: "Thierry is a true Premier League legend and we've loved having him as part of our coverage.For four years he has helped us 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."
"We're sorry he's leaving us but we've known he has a real passion for coaching and he has our full support in making that career every bit as successful as his playing days."
By: Benjamin Owusu