Two-time major winner McIlroy, 25, and Danish former world number one Wozniacki, 23, announced their engagement on New Year's Eve.
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"The problem is mine," McIlroy said. "The wedding invitations issued at the weekend made me realise that I wasn't ready for all that marriage entails."
The couple had been together for more than two years.
McIlroy is currently at Wentworth for the BMW PGA Championship, the European Tour's flagship event which starts on Thursday.
Wozniacki is set to compete in the French Open in Paris starting on 25 May.
In a statement issued through his management company, McIlroy added: "There is no right way to end a relationship that has been so important to two people.
"I wish Caroline all the happiness she deserves and thank her for the great times we have had."
"The news has shocked the worlds of both golf and tennis, particularly with the timing of the split. McIlroy is due to start a crucial run of tournaments, while Wozniacki is playing the upcoming French Open."
Speaking at Wentworth on Wednesday, McIlroy said the decision to end the engagement had been mutual and amicable.
He said it was a difficult time, but that the move was best for both of them.
McIlroy won the US Open in 2011 and US PGA Championship the following year.
Wozniacki, who has reached the final of one grand slam tournament - the US Open in 2009 - is currently ranked 13th in the world.
When McIlroy announced their engagement, he tweeted: "I have a feeling it is going to be a great year."

The show's producers told the Coronation Street star as he woke on Thursday morning that Dean, 50, had died of a heart attack.
An ITV spokesperson said: "Craig decided to leave the Celebrity camp... and will be heading back to his family in the UK.
We send our sincere condolences to Craig and his family."
Charles was missing from last night's show when presenters Ant and Dec entered the campsite.
The pair told viewers that they could not vote for Charles when deciding which celebrity should take part in the next bushtucker trial.
The  6 Music radio presenter and former Red Dwarf star had been in the jungle for less than a week. He was one of the favourites to win.
The 49-year-old is the second celebrity to leave, following reality TV star Gemma Collins's exit.
Westlife singer Kian Egan, who won the jungle crown in 2013, has tweeted his condolences.
Craig - a DJ at BBC Radio 6 Music - had said his rocky past had prepared him for the jungle.
He admitted he went to hell and back over his crack cocaine addiction in 2006.
He finally beat the habit after a stint in rehab, but said recently that heights, snakes, rats and spiders won't prove to be as challenging as getting clean.
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Northern Irish golf star Rory McIlroy has broken off his engagement with tennis player Caroline Wozniacki.
[NEXT_CONCEPT]
Craig Charles has left the I'm A Celebrity jungle after the sudden death of his older brother.