The West African nation branded the 54-member grouping, which includes the UK and most of its former colonies, a “neo-colonial institution”.
The withdrawal was announced on state TV but no other reasons were given.
Two years ago President Yahya Jammeh accused the UK of backing his political opposition ahead of elections. The UK said it would “very much regret” The Gambia leaving the Commonwealth.
There is a history of tension between President Yahya Jammeh, who came to power in a 1994 coup, and the UK.
Earlier this year, a Foreign Office report singled out The Gambia for its human rights record, citing cases of unlawful detentions, illegal closures of newspapers and discrimination against minority groups.
In August 2012, The Gambia was criticized by Amnesty International and others for executing nine prisoners by firing squad.
The Commonwealth was founded in 1931 but acquired its modern shape after 1949 as former British colonies and protectorates, including The Gambia, started to achieve self-government and varying degrees of independence.
The grouping dropped the word British from its name and the allegiance to the crown from its statute and other independent nations joined.
In its statement, the Gambian government said it had “withdrawn its membership of the British Commonwealth”.
It said it had “decided that The Gambia will never be a member of any neo-colonial institution and will never be a party to any institution that represents an extension of colonialism”.
The last time a nation left the Commonwealth was in 2003, when Zimbabwe withdrew.
The UK’s Foreign Office said: “Decisions on Commonwealth membership are a matter for each member government. We would very much regret Gambia, or any other country, deciding to leave the Commonwealth.”
Queen Elizabeth II, who is 87, is the head of the Commonwealth, which holds its next heads of government meeting in Colombo, Sri Lanka, next month.
However, the gathering will be the first that the Queen has not attended.
The Queen is sending her son, the Prince of Wales instead, with Buckingham Palace saying she is making fewer overseas trips because of her age.
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