Day, 51, was to announce his retirement Thursday at Churchill Downs, Ky., to "get one-on-one with the Lord," agent Doc Danner told the Louisville, (Ky.) Courier-Journal.
Danner said Day told him Tuesday evening he would retire from a career he began in 1973.
"He went on a sabbatical and the Lord assured him it was time to move on and pursue a different direction in his life," Danner told The Blood-Horse magazine online edition.
Day plans to work with a racetrack chaplaincy program. The retirement is not related to recent hip surgery Day underwent, the magazine reported.
"He's a living legend, for sure," trainer Paul McGee told the Courier-Journal. "I don't think it's out of line to call him the best of all time."
Day is horse racing's all-time purse leader with nearly $298 million in career winnings. He is No. 4 in career victories with 8,804.