The Scot led the Midlands side to the top flight and then Carling Cup glory earlier this season.
McLeish is the 55th managerial departure this season after Billy Davies was axed by Nottingham Forest earlier on Sunday.
False promise: Birmingham won the Carling Cup after beating Arsenal but fell to relegation
Managerial departures this season August 9 - Martin O'Neill (Aston Villa) August 12 - Steve Coppell (Bristol City) August 14 - Kevin Blackwell (Sheffield United) August 19 - Chris Turner (Hartlepool)August 30 - Alan Pardew (Southampton)September 12 - Nigel Adkins (Scunthorpe)September 29 - Chris Sutton (Lincoln)October 1 - Paulo Sousa (Leicester)October 4 - Simon Davey (Hereford)October 18 - Gordon Strachan (Middlesbrough)October 24 - Craig Short (Notts County) December 6 - Chris Hughton (Newcastle)December 13 - Sam Allardyce (Blackburn)December 14 - Gary Speed(Sheffield United) December 15 - Paul Trollope (Bristol Rovers) December 29 - Brian Laws (Burnley) December 29 - Darren Ferguson (Preston)December 30 - Micky Adams (Port Vale)January 1 - George Burley (Crystal Palace)January 1 - Mark Stimson (Barnet)January 4 - Chris Hutchings (Walsall)January 4 - Phil Parkinson (Charlton)January 4 - Paul Simpson (Stockport)January 7 - Roy Keane (Ipswich)January 8 - Roy Hodgson (Liverpool)January 10 - Kevin Dillon (Aldershot)January 10 - Gary Johnson (Peterborough)January 16 - Eddie Howe (Bournemouth)February 3 - Alan Irvine (Sheffield Wednesday)February 3 - Andy Scott (Brentford)February 6 - Roberto Di Matteo (West Bromwich)February 26 - Peter Taylor (Bradford)March 2 - Ian Sampson (Northampton)March 2 - Danny Wilson (Swindon)March 7 - Dave Penney (Bristol Rovers)March 14 - Aidy Boothroyd (Coventry)March 16 - Ian Baraclough (Scunthorpe)March 21 - Jim Gannon (Port Vale)March 22 - Ronnie Moore (Rotherham)March 31 - Alan Knill (Bury)April 3 - Paul Ince (Notts County)April 11 - Martin Allen (Barnet)April 11 - Paul Hart (Swindon)May 9 - Sammy McIlroy (Morecambe)May 10 - Micky Adams (Sheffield United)May 15 - Avram Grant (West Ham United)May 15 - Mark Robins (Barnsley)May 22 - Carlo Ancelotti (Chelsea)May 30 - Paul Buckle (Torquay)May 30 - Dave Jones (Cardiff)June 1 - Keith Hill (Rochdale)June 1 - Gerard Houllier (Aston Villa)June 2 - Mark Hughes (Fulham)June 12 - Billy Davies (Nottingham Forest)June 12 - Alex McLeish (Birmingham City) Club-by-club Premier League guide to every transfer deal in summer 2010Click here to check our stats zone for all the big leagues across the globeBreaking news: Roy Hodgson leaves Liverpool and is replaced by Kenny Dalglish
Explore more:People: Martin O'Neill, Steve Coppell, Kevin Blackwell, Chris Hughton, Paul Trollope, Gary Speed, George Burley, Roy Hodgson, Alan Irvine, Roberto Di Matteo, Jim Gannon, Paul Ince, Gerard Houllier, Billy Davies, Alex McLeish Places: Bristol, Newcastle, Liverpool, Cardiff, Birmingham