The couple had been engaged for about five months and had sent out wedding invitations to friends and family just a few days ago, reports Xinhua.
McIlroy, 25, took full blame for the split, announcing in a statement he released Wednesday through his Dublin-based communication liaison, that he was not ready to commit.
"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 engagement was announced to a million Twitter followers this past New Year's Eve, much to the delight of their fans.
"Happy New Year everyone! I have a feeling it's going to be a great year!! My first victory of 2014. She said yes!!" McIlroy wrote at that time.
Wozniacki, 23, posted a Tweet at the same time that read: "Happy New Year everyone! Rory and I started 2014 with a bang! ... I said YES!"
Wozniacki, who was placed 14th in the latest WTA rankings, had earlier this month expressed her wish to settle down and have children, stating to a Danish magazine that she wanted to be a young mother and that she hoped that would happen not "too far in the future".
McIlroy, who has dropped to the 10th in pro-golf rankings, said he hoped the split would not affect his performance in the coming European PGA championship next week.
"I just want to get my head into golf and concentrate on the tournament and try and do well," he said.