He follows Andrew Neil out of the door after previously working at the BBC for 17 years.
The veteran broadcaster, 60, announced his move to GB News in March after 17 years at the BBC.
In a statement made at the time, GB News described McCoy as “one of Britain’s best loved and most charismatic journalists”.
McCoy is not the first journalist to step down since the channel’s launch.
Andrew Neil resigned from his position as lead GB News presenter and chairman in September, saying he became a “minority of one” within management.
The channel launched in June.
The news of McCoy’s departure comes hours after it was confirmed Eamonn Holmes, 62, would be moving from ITV to host a new programme in 2022.
Holmes will present alongside Isabel Webster, after current breakfast host Kirsty Gallacher also said she would be “stepping back”, after finding a tumour in her ear.
Holmes and Webster will present a breakfast show together starting in the new year.