The actor made the announcement on "The Late Show With David Letterman on Wednesday. "I'm definitely done," Sudeikis told Letterman. "I'm not coming back next fall."
The funnyman joined "SNL" in 2003 as a writer and became a featured performer in 2005.
Sudeikis, who is engaged to actress Olivia Wilde, will be seen next in the comedy "We're the Millers,” with Jennifer Aniston.