McLeish, 54, took over the Championship side from Sean O’Driscoll, who had led the Reds to within striking distance of play-off places, on December 27 but has managed one win in seven games.
Chairman Fawaz Al Hasawi told the club website: “I’m bitterly disappointed – as is Alex – it has not worked out.”
It’s said McLeish is frustrated at the lack of transfer action in the January window.
He released a statement through the League Managers Association:
“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.
“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.
“I want to thank the players, staff and fans for their support and wish Nottingham Forest the best of fortunes ahead.”
Scot McLeish most recently managed Aston Villa in the Premier League, but was not popular with fans before being replaced last year by Paul Lambert.
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