The two will depart when their contracts are up on June 30th.
Collins played for West Ham 214 times across two stints at the club, while Evra joined the Hammers in February after being released by French side Marseille. He only appeared five times for West Ham.
While he may not have been happy with his departure, Collins did get to wear the armband for the Hammers during the last few minutes of his final appearance for the club - the 3-1 win over Everton on May 13.
Joint-chairmen David Sullivan and David Gold released a statement on Collins' departure that said: "We would like to place on record our sincere thanks for the outstanding service James has given West Ham United down the years.
"His bravery and commitment on the pitch were never called into question and he has played his part in establishing the club in the Premier League since his return in 2012.
"We appreciate just how popular James is among our fellow supporters but, with the appointment of a new manager, we felt together that the time was right to go our separate ways.
"It goes without saying that we wish James and his family every success in the future and they will always be welcome at London Stadium."