The Welshman has been working as one of manager Vincent Kompany’s backroom staff.
The 42-year-old is to step down on Monday after taking a “very difficult, but absolutely necessary decision concerning his health”, according to the club.
Bellamy, who has been working as one of manager Vincent Kompany’s backroom staff, has spoken openly about his issues with mental health in the past.
Former Wales international Bellamy, who also played for other clubs including Norwich, Newcastle and West Ham in a lengthy career, initially joined Anderlecht in as Under-21 coach in 2019.
Bellamy said his farewells to the dressing room after Anderlecht’s 7-2 victory over Mechelen in the Belgian First Division on Sunday.
Anderlecht director of sports Peter Verbeke told the club’s website: “The enormous energy Craig has given us all is priceless.
“It is therefore logical that we must give him all the time and rest he needs. The whole club stands firmly behind him in this difficult period.”