The actor made this announcement via a video shared on Instagram, a matter of hours after Paramount confirmed that the second half of the show's fifth and final series would launch in November.
Yellowstone first launched in 2018, going on to garner a huge following.
Costner had starred as the Montana rancher, determined to protect his family's cattle ranch amid tensions which arose with its neighbours, and Indian reservation, Yellowstone National Park, and an expanding town.
The drama, which was created by Taylor Sheridan and John Linson, saw Costner win a Golden Globe for best performance in a drama television series last year.
Yellowstone also featured American Beauty star Wes Bentley, American Sniper's Luke Grimes and Kelly Reilly of True Detective. The second part of the upcoming fifth series will debut on November 10.
In a video shared via Instagram, Kevin Costner said that he will not return for the last part of Yellowstone.
The Oscar winner stated that he is focused on his work with new series of western films Horizon: An American Saga, which he directs and stars in. The first part of these films also premiered at this year's Cannes Film Festival.
"I want to reach out and let you know that after this long year and a half of working on Horizon and doing all the things that’s required, and thinking about Yellowstone, that beloved series that I love, that I know you love, I just realised that I’m not going to be able to continue season 5B or into the future", Costner said.
"It was something that really changed me. I loved it. And I know you loved it", he continued. "And I just wanted to let you know that I won’t be returning and I love the relationship we’ve been able to develop and I’ll see you at the movies".
Kevin Costner won two Oscars, for best picture and director for his work on Dances With Wolves in 1990.
The actor also enjoyed huge box office success, starring in Robin Hood: Prince of Thieves in 1991, and alongside the late Whitney Houston in The Bodyguard in 1992,
