Murdoch, who has already stepped down from board positions at GlaxoSmithKline and from News Corp.'s newspaper business, News International, was under pressure to resign, the Financial Times reported Saturday.
A Sotheby's investor group, CtW, had said it was lobbying to have Murdoch step down and seeking votes to have him ousted at the company's annual meeting in May.
Murdoch remains a director at two companies, News Corp. and British Sky Broadcasting, but those positions are in jeopardy as well, the Times said.
Murdoch presided over News Corp. for a period in which reporters tapped phones and conducted other illegal activities to obtain stories.
The British House of Commons is preparing a report on the scandal, and Murdoch's directorships hang in the balance. He may be pressured to step down if the criticism of his leadership is particularly severe, the Financial Times said.
Sotheby's painted Murdoch's departure as amiable.
"James Murdoch has been a valued member of the Sotheby's board and during his tenure Sotheby's has benefited greatly from his broad-based marketing and brand management experience," the auction house said in a statement.
Sotheby's said it would continue to seek "his guidance regarding the company's strategic initiatives in Asia and his insight into digital media, among other things."
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