The 34-year-old, who was promoted to the manager's position after spending five seasons at the DW Stadium as a player, has lasted 18 months in the job.
After replacing Malky Mackay in April last year, Caldwell failed to save the club from Championship relegation, but he guided them to the League One title and promotion in his first attempt.
This season has not quite gone to plan, though, as Wigan sit 23rd in the league table, five points off bottom spot.
Chairman David Sharpe told the club's official website: "It's undoubtedly the toughest decision I've had to make since becoming chairman.
"We deservedly won the League One title last season. However, we have not managed to carry on that momentum into this season and, after careful consideration over a period of time, I feel that we need to act now in the best long term interests of the club.
"We thank Gary for all the hard work he has put in and wish him all the best for the future. We need to identify a new manager who can have an immediate impact and deliver success in the long term."
During his spell as a player, Caldwell made 111 appearances for Wigan and was club captain for their FA Cup win in 2013.