The French icon said the past year has been "extremely difficult," as the coronavirus pandemic has prevented him from seeing his children.
"The separation is too much of a strain for me and my kids," he said. "Therefore, it is with much sadness that I must take the decision to return to London and leave CF Montreal.
"I would like to thank the fans, players, and all the staff of this club that have made me feel so welcome."
CF Montreal sporting director Olivier Renard said the process of finding a replacement is already underway.
Montreal revealed Henry as the surprise successor to former coach Wilmer Cabrera in November 2019, bringing him aboard on a two-year contract running until 2022.
Henry enjoyed a successful 2020 campaign, leading Montreal to its first playoff appearance since 2016. But rumors of a possible departure emerged earlier in February when the 43-year-old was linked with the managerial job at Bournemouth.
Patrick Vieira, Henry's former France and Arsenal teammate, was reportedly in the running for the Bournemouth job before the Championship club appointed Jonathan Woodgate as manager until the end of the season.
Henry served as an assistant coach for the Belgian national team before AS Monaco gave him his first managerial opportunity in 2018. Poor results saw his time at the Ligue 1 side end a little over a year after his hiring.