A statement from the club on Wednesday said Van Nistelrooy, 46, did not feel he had sufficient support following several recent discussions about “internal affairs”.
The club wanted him to see out of the season but he has opted to leave immediately. Fred Rutten will take charge for the trip to Alkmaar.
The statement read: “Van Nistelrooy reported this morning that in his opinion there was not enough support within the club to continue longer.
“He immediately explained this to the players and staff.
“PSV regrets Van Nistelrooy's decision and is grateful to him for winning the Johan Cruyff Shield and the KNVB Cup this season and hopes to close the football year with second place.”
Additional reporting by PA.