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McIlroy said in a statement:
"The problem is mine. The wedding invitations issued at the weekend made me realize that I wasn't ready for all that marriage entails. There is no right way to end a relationship that has been so important to two people. I wish Caroline all the happiness she deserves and thank her for the great times we have had."
McIlroy added that ending the relationship had been "amicable and mutual."
Before the couple was engaged, rumors were flying that the pair was having problems, but Wozniacki denied these rumors.
McIlRoy is at the BMW PGA Championship in Wentworth which starts Thursday. Wozniacki, the current 13th ranked tennis player in the world, will play in the French Open which starts on May 25.
While the split must be heartbreaking for the couple who dated for more than two years, it may be good for Wozniacki and McIlroy's careers. The two began struggling in tournaments after they started dating.