Questions over the Scotsman's future had surfaced following a reported dispute with the club's chairman Fawaz Al Hasawi over the club's failure to sign George Boyd from Peterborough United on transfer deadline day last month.
The proposed move was cancelled by Al Hasawi at the last minute when Boyd failed an eye test, despite completing the other relevant parts of the medical.
While neither party have alluded to the transfer activity, McLeish has revealed that he was not in agreement with the board's "development strategy".
Al Hasawi said in a statement on the club's official website: "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."
McLeish added: "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.
"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."
McLeish, who was sacked by Aston Villa after just one season last summer, replaced Sean O'Driscoll on December 27.