A short statement on the Cardiff website confirmed Mackay's exit on Friday following a period of fevered speculation surrounding his future.
Owner Vincent Tan had sent Mackay an ultimatum via email last week in which he told the manager to resign or be sacked.
Chairman Mehmet Dalman handed the ex-Watford man a reprieve when he said Mackay would remain in charge for the "foreseeable future" , but just five days later Mackay left the club.
And the Supporters' Trust, one of the fans' groups due to meet Tan on Saturday, has expressed its disappointment at events, while offering thanks to Mackay for helping Cardiff reach the Premier League.
"We are not surprised at the departure of Malky Mackay which looked inevitable following the breakdown in the relationship between Malky and Mr Tan," read a statement.
"We'd like to thank Malky sincerely for his massive contribution to Cardiff City. He will always be fondly remembered by Bluebirds fans as the manager who took Cardiff City to the Premier League for the first time.
"He is undoubtedly one of the best and most popular managers in Cardiff City's history.
"The Trust always found Malky very approachable and he was passionate about doing his best for Cardiff City. He had an excellent rapport with fans and appreciated the importance of supporters to any football club."
The Trust has also re-iterated a desire to be represented on the club board, as is the case at Swansea, and for Cardiff to return to playing in blue as opposed to the red imposed by Tan as part of a rebrand in 2012.
The statement continued: "Recent off the field controversies have damaged the relationship between the club and fans.
"One way Mr Tan could build bridges with supporters would be to return the playing kit to blue at the earliest opportunity.
"This whole episode highlights once again the need for strong supporter engagement in football clubs at all levels.
"Our friends in the Swansea City Supporters' Trust have an excellent working relationship with the senior management of their club and a supporter director sits on the board. We'd like to see Cardiff City move towards that in the future.
"We urge Cardiff City fans to join the Trust and strengthen further the voice of the fans."
The Supporters' Trust later confirmed the scheduled meeting with Tan had been cancelled.
Chairman Tim Hartley said: "We are very disappointed that this meeting has been postponed at a time of great instability at the club. We've been told that Mr Tan will meet the Trust when the new manager is appointed and we now look forward to that meeting.
"Given the recent off the field debacle, we believe it is more important than ever that Mr Tan engages with supporter groups and the fans generally. This meeting provided Mr Tan with an immediate opportunity to start building bridges with fans and that opportunity has been missed.
"There are many questions the fans still want answered, around corporate governance and transparency, the club's financial future and the rebranding. We will put these to Mr Tan at our rearranged meeting which needs to be held as soon as possible."