"It's been a great experience working on 'Up All Night,' but the show has taken a different creative direction and I decided it was best for me to move on to other endeavors," Deadline.com quoted Applegate as saying.
"Working with [producer] Lorne Michaels has been a dream come true and I am grateful he brought me into his TV family. I will miss the cast, producers and crew, and wish them the best always."
Deadline.com said NBC declined to comment on Applegate's departure and the fate of the show, which co-stars Will Arnett and Maya Rudolph.
The series has been changed from a single-camera to multiple-camera comedy and has undergone numerous personnel changes among the writing and producing staff.
Deadline.com said Applegate initially signed on to the show because she was a new mother learning to juggle family life and career -- much like her character on "Up All Night."
However, the series then focused more on the fictionalized TV show where her character worked, making it more of a workplace comedy.