The emotional host said: “This was a tough decision for me because I love this show, our staff, my crew my colleagues here at Fox and you! All of you!”
She became expressive as she talked about her three children.
“The truth is I need more of that in my life particularly when it comes to my children who are seven, five and three,” she said.
The 46-year-old anchor is launching her own daytime talk show on NBC and a primetime Sunday night news show. She reportedly turned down a $20 million offer to stay at Fox.
"I am very grateful to NBC for this opportunity, and I am deeply thankful to Fox News for the wonderful 12 years I have had here. I have grown up here, and been given every chance a young reporter could ever ask for," Kelly said Tuesday night. "The Murdoch family has been kind and good to me at every turn, and my colleagues are like a second family. So I will miss them and this show, and you. And I hope our human connection continues, albeit over a different line."
She closed her show saying: “Thank you for watching. With love.”
“Megyn Kelly clearly wanted out of Fox News," CNN senior media correspondent Brian Stelter told Inside Edition. "Her spokeswoman tells me money was not the driving factor here. She wanted a better lifestyle. She wanted to be at home with her children at night. She didn’t want to be at Fox anymore.”
But Variety has warned that NBC's big bet on Megyn Kelly comes with big risks. The Hollywood trade magazine cited news superstars such as Katie Couric, Anderson Cooper, and Meredith Vieira have all had daytime talk shows that failed early, sometimes after just one season.
Her final show on Fox will air Friday.