"All-rounder Michael Yardy has returned to the UK suffering from depression and will play no further part in England`s World Cup campaign," the England and Wales Cricket Board said in a statement.
The 30-year-old left-hander, who played in three matches at the tournament, said he has no choice but to leave without specifying the exact reasons for his state of mind.
"Leaving at this stage of a World Cup campaign was a very difficult decision to make but I felt that it was the only sensible option for me and I wanted to be honest about the reason behind that decision," he said.
"I would like to wish the squad all the very best ahead of the game on Saturday. I would appreciate some privacy over the coming weeks while I spend time with family and close friends ahead of what I hope will be a successful season for Sussex," he added.
ECB Managing Director Hugh Morris said the Board backed Yardy in his hour of crisis.
"I would like to offer my full support to Michael on behalf of everyone involved with the England team and the ECB," he said.
"Michael has been an integral part of the England set up in recent years and while he will be missed in the knock out stages of the World Cup, our priority now is to ensure that he returns home to his family and is able to spend time recovering with a strong support network around him."
The ECB has applied to the ICC`s Technical committee to replace Yardy in its squad and is currently awaiting a decision.
The left-arm spinner and batsman captured two wickets at 79.50 apiece and made just 19 runs at the World Cup.
Yardy has played in 28 one-dayers and was a member of the side that won the World Twenty20 Championships in the West Indies last year.
The English squad which made the quarters after a roller-coaster group campaign are already without top batsman Kevin Pietersen and pacers Stuart Broad and Ajmal Shahzad due to injuries.