The 51-year-old Roeder was given a two-year contract in May 2006 after coaching the club on a caretaker basis after Graeme Souness had been fired three months before.
Roeder left after meeting with the board late Sunday, according to Sky Sports News and Britain's Press Association.
Sam Allardyce was reportedly the favorite to take over. Allardyce quit as manager of Bolton last Sunday.
Newcastle lost to Blackburn 2-0 in the Premier League on Saturday, and fans jeered the players off the field. Saturday's game extended Newcastle's goal drought at St. James' Park to five games, the club's worst run since 1951.
Roeder has had to deal with several injuries this season, notably striker Michael Owen, who made his comeback from a serious knee injury two matches ago.
Newcastle is 13th in the league and plays its final game of the season at Watford next Sunday.
Roeder has also managed West Ham, Watford and Gillingham.