The 31-year-old singer had been dating the NBA star for just under a year but has confirmed they have gone their separate ways after she found her values "compromised".
"I've made the decision to end my relationship with Klay," Megan Thee Stallion told Us Weekly magazine in a statement.
"Trust, fidelity and respect are non-negotiable for me in a relationship, and when those values are compromised, there's no real path forward.
"I'm taking this time to prioritise myself and move ahead with peace and clarity."
The Hot Girl Summer hitmaker had seemingly called out Thompson's behaviour on social media hours before issuing her statement.
Without mentioning the 34-year-old basketball player by name, she wrote on her Instagram Story: "Cheating, had me around your whole family playing house … got 'cold feet'.
"Holding you down through all your HORRIBLE mood swings and treatment towards me during your basketball season.
"Now you don't know if you can be 'monogamous???' Bitch, I need a real break after this one. Bye y'all."
Thompson has yet to comment on the statement.
The WAP hitmaker had gushed she felt "comfy" with the Dallas Mavericks player just a few months ago.
"I don't never want to tell (anybody) to just jump in a relationship just because everybody else got one, and I'm not going to tell you to just jump in a relationship because you have to," the rapper told People.
"I didn't even know I was going to be in my relationship, to be honest."
Megan Thee Stallion attended therapy and worked on herself before Thompson walked into her life.
"I think that because finally I started being in a better mind space about myself and my life, and I had already been doing a lot of work to heal me," she said.
"I had been going to therapy, I had a bunch of activities that I started doing for myself; maybe God just opened up that space for me to have somebody that loved me right.
"This is one of the first times that I've ever been just overly comfortable. I'm comfy, babe!"
For her 31st birthday in February, Thompson surprised the singer with a baby blue Bentley.
Alongside a series of snaps from her birthday holiday, she shared some photos of her new ride with a giant blue bow placed on the bonnet.
"Aw man I was not ready for this birthday trip to be over," she captioned the Instagram carousel at the time.
"A time was definitely had. THANK YOU BABY."