"I'm definitely done," the actor and comedian said Wednesday on CBS's The Late Show.
"I'm going to leave. Yeah, I'm not coming back next fall."
Sudeikis, 37, who is engaged to actress Olivia Wilde, has been in the SNL cast for eight years, and was a writer on the show for two years before that. That work has helped him launch a successful movie career – he stars next in We're the Millers, opposite Jennifer Aniston.
"It's been really, really amazing," he says of his time on SNL. "I was very, very lucky."
Sudeikis admits he'll have to find a new outlet for his comedy ideas now. "You start to get that itch probably in August, where all these sketch ideas will show up," he says. "And I'll be like, 'Well, can I make this sketch idea last 90 minutes and turn it into a movie?' Probably not."
His departure follows several other notable cast exits. Long-timers Bill Hader, Fred Armisen and Seth Meyers are all leaving as well, the latter to become the new host of NBC's Late Night.