The Anchorman actress explained that changes in the show's direction are behind the departure, after NBC decided last year to change from a single-camera comedy to a multi-camera format with a live audience.
Deadline quotes the Anchorman actress as saying: "It's been a great experience working on Up All Night, but the show has taken a different creative direction and I decided it was best for me to move on to other endeavours.
"Working with Lorne Michaels has been a dream come true and I am grateful he brought me into his TV family. I will miss the cast, producers and crew, and wish them the best always."
Series creator/executive producer Emily Spivey also left the show in January.
Deadline cites some sources as saying that NBC still wants to proceed with a third series in 2013, and may turn to former Friends actress Lisa Kudrow as a new lead, but other sources have claimed the show will not continue.
Watch a trailer for Up All Night's first series below: