Recently, it changed the format from taping before a studio audience to a one-on-one interview setting with celebrities such as Kathy Griffin, Chelsea Handler and former Illinois first lady Patti Blagojevich.
In a statement released by OWN, Winfrey thanked O'Donnell. She called O'Donnell "an incredible partner" who worked to put on the best show "every single day."
O'Donnell also was quoted as saying she loved working with Winfrey and in Chicago and "wished" the show had better ratings.
The final episode will air March 30.