The former president boarded a plane to Guinea and from there will travel on to exile in Equatorial Guinea, regional group ECOWAS says.
Yahya Jammeh was defeated in December’s election by Adama Barrow but went on to challenge the results.
Adama Barrow has been in Senegal but says he will return to The Gambia soon.
Marcel de Souza, president of the Economic Community of West African States (ECOWAS), said the military operation that had sent West African troops into The Gambia in support of Adama Barrow, was now ended, although some would remain to ensure security.
Adama Barrow has been in neighboring Senegal for days and was inaugurated as president in the Gambian embassy there on January 19.
Troops from several West African nations, including Senegal, had been deployed in The Gambia, threatening to drive Yahya Jammeh out of office if he did not agree to go.
Yahya Jammeh’s decision to quit his country came after talks with the presidents of Guinea and Mauritania.
Guinea’s President Alpha Conde was with Yahya Jammeh and his wife on the plane that left capital Banjul on January 21.
In an address on national TV, Yahya Jammeh, who had once said he would rule The Gambia for a billion years, said he would stand down and that it was “not necessary that a single drop of blood be shed”.
He said: “I have decided today in good conscience to relinquish the mantle of leadership of this great nation with infinite gratitude to all Gambians.”
Yahya Jammeh had at first accepted defeat in the election but then reversed his position, declaring a 90-day state of emergency and blaming irregularities in the electoral process.
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