Smith, 39, departed after talking to Expo Manager Felipe Alou. The Expos are in Miami for a series with the Florida Marlins.
Smith led active relievers with 1,016 relief appearances and, with 1,022, was only the fourth major league pitcher to appear in more than 1,000 games.
In his 17-year major-league career that began in 1980 with the Chicago Cubs, Smith had 30 or more saves nine times. He had five saves and a 0-1 record this season with a 5.82 earned-run average in 25 appearances. His last save was against Philadelphia June 10.
"I would like to thank the Montreal Expos organization for the opportunity they gave me this season," Smith said, in a statement released by the Expos.
Alou said he was more saddened than surprised by the departure of Smith, who hadn't been used by Montreal since a game at Toronto July 2.
Smith warmed up late in Montreal's 12-inning, 5-4 loss Monday night, but didn't get into the game.
"Smith would have liked to pitch more, but it was very hard to use him more often, under the circumstances," Alou said. "We had 12 pitchers and our starters have finished nearly 20 games.'
Smith had a career-high 47 saves for the Cardinals in 1991 and he saved a record 15 games in June 1993. In 1984, Smith saved 33 games for the Cubs as they won the National League East. In 1995, he saved 37 for the Angels, who lost the American League West in a one-game playoff against Seattle.
"Smith is a great guy. You don't like to see a guy like him leave in the middle of the season," Alou said. "He told me he had some things to straighten up at home and he might be back next season. But it won't be easy for him, even if he works out at home. It's harder when you're old."
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Career Save Leaders
Top 10 career save leaders (x-active):
1. Lee Smith: 478
2. x-Dennis Eckersley: 374
3. Jeff Reardon: 367
4. x-John Franco: 346
5. Rollie Fingers: 341
6. Tom Henke: 311
7. Rich Gossage: 310
8. x-Randy Myers: 301
9. Bruce Sutter: 300
10. x-Doug Jones: 266
13. x-Todd Worrell: 245