The former Birmingham, Wigan and Sunderland manager was reportedly unhappy with a lack of assurances from the club's owners over the recruitment of new players.
Midfielder Tom Huddlestone wrote on Twitter: "Never good to lose a manager especially one who has signed you and done so well for the club. Wish him all the best for the future."
Midfielder Jake Livermore posted a photograph of himself and Bruce on his Instagram account, jake14livermore, with the message: "Great manager. Great man, will be missed. Thank you."
Livermore tested positive for cocaine in April 2015 and was banned by both the club and the Football Association. Bruce stood by the player who he revealed had taken the drug to help him cope with grief following the death of his newborn child and he subsequently returned to the first team.
Bruce's son, Hull defender Alex, received farewell messages for his father from a host of well-wishers on his Twitter account and responded: "Thanks for all the nice messages I'll pass them on."
Bruce's departure means Hull's preparations for life back in the Premier League appear to be in turmoil just three weeks before the start of the new season following a meeting with the club's owners, having failed to take training on Friday morning.
Former Sunderland, Wigan and Birmingham boss Bruce led Hull to promotion to the Premier League via the play-offs in May.
It was his second promotion to the top flight with the club, while he also led them to the FA Cup final for the first time in their history in 2014 when they lost to Arsenal.
Bruce, whose offer to resign in 2015 following the club's relegation was turned down, revealed he was unsure of his future after the Tigers' play-off triumph against Sheffield Wednesday in May.
Chairman Allam, who missed the trip to Wembley after undergoing surgery, has been in takeover talks with two American consortiums and the club announced this week that those had been put on hold to allow them to prepare for life back in the top flight.
But no major new signings have been made and Bruce's frustration at the club's failure to strengthen their squad has grown with goalkeeper Allan McGregor, Michael Dawson, Moses Odubajo and son Alex all ruled out through long-term injury.
Allam first put the club up for sale in 2014 after the FA rejected his bid to change their name to Hull Tigers and due to ill health has delegated the day-to-day running of the club to his son and vice-chairman Ehab.
Bruce signed a new three-year contract in March 2015 and is the most successful manager in Hull's history.
He held informal talks with the FA over the England vacancy on Monday before the club issued a statement confirming there had been no official approach.
Bruce said it would be any English manager's dream job to take on the England role and that his vast experience in the game, on the pitch and in the dugout, made him a worthy candidate.
His coaching career began with brief assignments at Sheffield United, Huddersfield, Wigan and Crystal Palace but he put a reputation for itchy feet behind him during a largely successful six-year stay at Birmingham, who he also led to the Premier League on two occasions.
He went on to manage Wigan again and then Sunderland, who sacked him in November 2011, before he was appointed as Nick Barmby's successor at Hull in June 2012.
Hull launch their new Premier League campaign at the KC Stadium on August 13 against champions Leicester.