Anzhi lie seventh in the Russian Premier League with five games remaining, not enough to save Gadzhiev from the axe.
A club statement, reported by the RIA Novosti news agency, read: "The leadership of FC Anzhi has taken the decision to release head coach Gadzhi Gadzhiev from his post.
"The club expresses gratitude to the coach for the work done, and hopes that the experience and knowledge of [Gadzhiev] will yet serve to develop the club and football in Dagestan."
Club owner Sulieman Kerimov has spent a vast amount transforming the squad.
Samuel Eto'o arrived from Inter Milan in August in a deal which reportedly made him the highest-paid player in the world while the likes of Roberto Carlos, Balazs Dzsudzsak and Yury Zhirkov have all been recruited.
Former Brazil left-back Roberto Carlos and Gadzhiev's former assistant Andrei Gordeev have been placed in interim charge.