The 23-year-old Danish tennis player and 25-year-old Northern Irish golfer had been together since 2011. McIlroy proposed December 31, but ended the relationship this week after the wedding invitations went out.
"The problem is mine," he said in a statement. "The wedding invitations issued at the weekend made me realize that I wasn't ready for all that marriage entails."
"There is no right way to end a relationship that has been so important to two people," he added. "I wish Caroline all the happiness she deserves and thank her for the great times we've had."
Wozniacki addressed the breakup Thursday on Twitter. The tennis star changed her profile to reflect her new relationship status, and told her 600,000+ followers, "It's a hard time for me right now."
It's a hard time for me right now.Thanks for all the sweet messages!Happy I support Liverpool right now because I know I'll never walk alone— Caroline Wozniacki (@CaroWozniacki) May 22, 2014
McIlroy is currently competing at the BMW PGA Championship in England. Wozniacki is scheduled to participate in the French Open beginning May 25.