Having seemed inevitable since the club's transfer deadline problems, McLeish's exit was confirmed on Tuesday morning.
Talking of a 'difference in the understanding of the development strategy of the football club,' the Scot told the official NFFC website: "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."
Nigel Adkins and former boss Billy Davies head the betting markets but Sky Bet's Chris Spicer told the Sporting Life website: "Will anyone want to work for Forest after yet another disastrous managerial split?"
Source: Forest MAD