The model revealed that her relationship with the Argentinian had "run its course".
It is the second time in two years that the couple have broken up, with Price saying that their work and family commitments in different parts of the world were becoming difficult.
"Leo and I have had a lovely fun time for a couple of years," she said in a statement on her official website. "We will always feel deep affection for each other - but sometimes relationships just run their course.
"We have spent a huge amount of time apart, even when we were in the same country, and it was difficult for the relationship to move forward."
Penna also confirmed the split, telling an Argentinian website: "Yes, we've broken up. I think it was best for us."
Price added that she hopes to remain good friends with Penna, and said that whoever he ends up with will be a "very lucky girl".
Penna first met Price at the Oscars in February 2011, and they became engaged in April 2012.
Earlier this week, it was reported that Price had been exchanging flirty text messages with District3's Dan Ferrari-Lane.
However, she has denied that this had anything to do with the end of her relationship, saying that the messages were "entirely innocent and platonic".