He announced his relationship with Wozniacki, 23, was over because he was not ready for marriage.
The couple got engaged on January 1 after more than two years together. Their wedding was planned for New York in November.
"There is no right way to end a relationship that has been so important to two people," said McIlroy, 25.
"The problem is mine. The wedding invitations issued at the weekend made me realise I wasn't ready for all that marriage entails.
"I wish Caroline all the happiness she deserves and thank her for the great times we've had.
"Obviously (it's) quite a difficult time for Caroline and myself. It was mutual and amicable and we both thought it was the best for both of us. Time to move on and I think I've said all I need to say."