The 52-year old tactician notified the club via email that he had decided to step down from his role as rumours regarding the vacant Aston Villa job start circling.
McLeish's Birmingham team was relegated from the English Premier League last season but despite that, the club showed faith in him by keeping him in the job.
But now he has stepped away, creating plenty of speculation that he could walk straight into the Villa job, which would see him become public enemy number one in Birmingham.
One person who believes he may make the wrong decision is former Celtic star Chris Sutton who played against McLeish many times throughout his career.
"Alex will be a brave man if he decides to quit City and join Villa," Sutton told the Daily Record.
"The rivalry between those two clubs is intense and the fans are extremely passionate about their teams.
"They won't have minded him quitting the club especially after relegation to the Championship but to join their main city rivals will be hard to take for them.
"Alex will have to cope with a huge amount of flak and he will cop some real stick if he makes this move.
"It's a massive call for Alex and he will back himself to do well but the Aston Villa fans will be skeptical initially too as he has come from Birmingham and he'll have to conquer that as well.
"He is experienced enough to know why he has made this decision and he knows what to do. He has a fantastic track record as a manager.
"Alex will go in with his eyes wide open - he has shown a lot of strength and depth in character to make this bold move.
"He is a brave, brave man I can tell you but he has been successful over the years both as a player and a manager and he knows the game inside out. There is no reason why he can't replicate his successes at Aston Villa."