The former Rangers gaffer left by mutual consent yesterday following mounting speculation about his future at the City just 40 days into his reign.
Reports of disagreements behind the scenes with the club's Kuwaiti owners, the Al-Hasawi family, were also rife.
McLeish, who replaced Sean O'Driscoll as boss on December 27, said in a statement on the club's official website: "I am extremely saddened to be leaving after such a short period.
"Both parties entered into the relationship in good faith.
"However, there was a difference in the understanding of the development strategy of the football club and it was felt by both parties that we should part company."