The Dunblane-born tennis star said that he and Lendl parted ways on Saturday during planned talks on their working relationship ahead of the Miami Masters, which begins today.
The former player was credited with a dramatic turnaround in Murray's fortunes, including last year's Wimbledon title, the US Open and Olympic gold in the men's singles event.
Murray's decision to split with his coach surprised many commentators, and it had been rumoured that there had been a break-down between the pair following the Scot's exit from the Indian Wells ATP event.
But Murray said the decision had been mutual, and Lendl had made a "huge difference" to his career.
He said: "We sat down Saturday evening. We went and had dinner. We chatted for an hour about other stuff, and then we chatted about us moving forward.
"That wasn't something that happened after Indian Wells. We planned to sit down when I got to Miami to discuss moving forward. It wasn't going to happen.
"The best thing to do was just to move on."
Under Lendl, Murray became Britain's first male grand slam winner in 76 years after beating Novak Djokovic in the US Open. Last year he ended Britain's 77-year wait for a men's Wimbledon singles champion, after he beat Djokovic.
He added: "It's a tough one for me because he's been a big part of my life. He's been a big part of my team. He made a huge difference to my tennis."