E! News reported the "Napoleon Dynamite" star's departure came two days before production was to begin, leaving the show's future unclear.
Heder and Ferrell previously collaborated on the big-screen comedy "Blades of Glory."
"Comedy Central, Gary Sanchez Productions and Jon Heder have mutually decided to part ways over creative differences with the character," Heder's representatives said in a statement.
Heder was to play a financial wizard who loses his job and moves back home with his parents, E! said.
The series was to co-star Ferrell's former "Saturday Night Live" collaborators Chris Parnell and Horatio Sanz.