The singer shared the news in a statement on Monday afternoon, writing that she would not be returning to the band following her extended break from performing alongside them.
In an emotional statement, posted on Instagram, Jesy said that the nine years she'd spent in the band were the "most incredible" of her life.
She wrote: "To all my Mixers, The past nine years in Little Mix has been the most incredible time of my life.
"We have achieved things I never thought possible. From winning our first Brit Award to our sold out shows at the 02. Making friends and fans all over the world I can't thank you all enough from the bottom of my heart for making me feel like the luckiest girl in the world.
"You have always been there to support and encourage me and I will never ever forget it".
Before explaining: "The truth is recently being in the band has really taken a toll on my mental health. I find the constant pressure of being in a girl group and living up to expectations very hard.
"There comes a time in life when we need to reinvest in taking core of ourselves rather than focussing on making other people happy, and I feel like now is the time to begin that process.
"So after much consideration and with a heavy heart, I'm announcing I'm leaving Little Mix.
"I need to spend some time with the people I love, doing things that make me happy. I'm ready to embark on a new chapter in my life - I'm not sure what its going to look like right now, but I hope you'll still be there to support me.
"I want to say thank you to everyone involved in our journey. All the hard work and dedication that went into making us a success."
The singer went on to thank "every single fan" who has watched the group in concert, supported her or listened to their songs "and sung their hearts out".
"I want you to know I love you all so much and I could never have done this without you and I appreciate it endlessly," she concluded.
"Most of all I want to say thank you to Jade, Perrie and Leigh-Anne for creating some of the most amazing memories i'll never forget.
"I hope that you'll continue to fulfil all of your dreams and keep on making music that people love. Love Jesy x"
You can read Jesy's full statement here.
Her bandmates also spoke out on the news, revealing that they fully supported her decision, and wished her the best.
"After an amazing 9 years together Jesy has made the decision to leave Little Mix," Perrie, Jade and Leigh-Anne wrote in their own statement.
"This is an incredibly sad time for all of us but we are fully supportive of Jesy. We love her very much and agree that it is so important that she does what is right for her mental health and well-being."
After an amazing 9 years together Jesy has made the decision to leave Little Mix. This is an incredibly sad time for all of us but we are fully supportive of Jesy.
- Little Mix (@LittleMix) December 14, 2020
They added: "We are still very much enjoying our Little Mix journey and the 3 of us are not ready for it to be over.
"We know that Jesy leaving the group is going to be really upsetting news for our fans. We love you guys so much and are so grateful for your loyalty and continued support of all of us.
"We're looking forward to seeing so many of you on tour. Love always, Jade, Perrie and Leigh-Anne xxx".
We're not crying, you are. We wish Jesy all the luck for the future.