A statement on the royal family's website said the pair had taken a joint decision to separate after "mature consideration". The couple had reached the conclusion that it was best for both of them to move forward with separate lives, the statement said.
The decision to split follows weeks of media speculation that the couple's relationship was in trouble, including reports that Bergström had enjoyed a brief dalliance with a Norwegian handball star while on a skiing holiday.
The Princess and Bergström asked the media to show them respect and consideration following the decision.
"They need peace and quiet in this difficult situation," the court said. It added that recent intense media coverage had not made the situation easier. The statement said that no further statement would be made.
It is believed that the Princess had left the country prior to the announcement. According to media reports she boarded a plane at midday at Stockholm Arlanda Airport bound for New York.
Princess Madeleine, 27, and Bergström, 31, announced their engagement in August last year. The announcement that Madeleine was due to follow Victoria down the aisle took many royal watchers in Sweden by surprise, coming so soon after her big sister's announcement.
Last week, Queen Silvia announced that her youngest daughter would not be tying the knot later this year as previously planned amid mounting speculation about the health of the young couple's relationship.
Princess Madeleine and Jonas Bergström, who is a lawyer from the exclusive Stockholm suburb of Djursholm, have been together for eight years. On marrying the Princess, Bergström was set to receive the title Duke of Hälsingland and Gästrikland.