Thelwell was appointed sporting director in 2016 and has seen the club promoted to the Premier League and qualify for the Europa League during that time.
Speaking to the Birmingham Mail, he said: "When I first took over as sporting director, we were on the brink of being relegated to League One, and when I look at the progress made and where the club is today I am proud to have played my part.
"I would like to say a huge thank you to everyone at the club, and of course the fans, for making the club what it is today - I am sure there are many more great times ahead and I look forward to watching and supporting from a distance."
The 46-year-old has been at the club since 2008 and is leaving to become head of sport at the MLS side.
Thelwell leaves Wolves eighth in the Premier League and just six points adrift of the top four. body check tags ::