Chris Daniels, who heads messaging app WhatsApp, is also departing.
The Facebook app will be overseen by Fidji Simo, who led the team for much of the past year while Cathcart was on paternity leave. Instead, the managers of Facebook's apps - which include the flagship Facebook app, Instagram, Messenger and WhatsApp - will report directly to Zuckerberg.
The tech giant was also hit with a criminal investigation yesterday, after the New York Times reported that a United States grand jury would probe Facebook over a series of data deals.
The departure of two top-level executives at Facebook further underscores the company is undergoing major, tumultuous changes in the wake of two straight years of numerous privacy, data, measurement and disinformation scandals.
Now, growth and user engagement have been decelerating in the company's most important advertising markets.
Cox, who dropped out of a Stanford University graduate degree program to work with Zuckerberg when the company had just 15 engineers, was widely seen as one of the most popular and capable executives at the social network - and a potential replacement CEO, were Zuckerberg to leave.
Citing six sources, The Times reported that Cox "disagreed with some of Mr. Zuckerberg's product ideas and changes, including the "unified messaging" project meant to connect the apps".
But there's a telling line in Cox's letter signaling disagreements over the direction Zuckerberg is taking Facebook - namely, its pivot to privacy and encryption, which the CEO set out in a manifesto last week.
"I will always appreciate his deep empathy for the people using our services and the uplifting spirit he brings to everything he does", Zuckerberg said of Cox in his parting note.
The news comes after Facebook suffered its largest outage across the family of apps to date for about 24 hours, with issues being resolved late yesterday.
In addition to Cox, Zuckerberg also said on Thursday that Chris Daniels, vice president of WhatsApp, is stepping down. It isn't clear what future plans the executives have.
He will be replaced by Will Cathcart, who now heads up Facebook's mobile app. Fidji Simo, who ran the app while Mr Cathcart was away on paternity leave, will take on his role.
After a trying year that gave the whole world a fundamental lesson in privacy and trust, it will be interesting to see how Zuckerberg proceeds with his privacy-first mission and the merging of all of these core apps into one single product.