The club hailed Eriksson, nicknamed 'Svennis' in his native Sweden, despite parting ways with the much-travelled coach, who leaves with the team fourth in China League One.
Shenzhen said it had "cooperated with Mr Eriksson with joy and we also admire his elegance and grace". The 69-year-old is leaving after a "friendly discussion", it said.
"We also thank him for the positive change he has brought for the team and the international football theory he has injected," a club statement said.
Eriksson joined Shenzhen in December after departing Chinese Super League side Shanghai SIPG, despite leading them to a third-place finish last year.
Shenzhen haven't won a game since mid-April, a run that leaves them unsure of winning promotion to the Super League as one of the top-two teams.
Eriksson also had a successful stint with China's top-tier Guangzhou R&F, but he is best known as coach of England from 2001 to 2006.
He went on to manage Manchester City and Leicester City and has also coached in Italy, Portugal and at home in Sweden, as well as stints with Ivory Coast and Mexico.
Chinese football has a reputation for abrupt managerial departures, and six Super League coaches left in a matter of weeks up to early June.
Former China striker Wang Baoshan takes over as Shenzhen's coach.