The Scot's exit from Cardiff City Stadium was confirmed on Friday afternoon as his tumultuous relationship with owner Vincent Tan came to a close, 11 days after the Malaysian issued an ultimatum that Mackay resign or be sacked.
But having led the club to a League Cup final and a Championship title, Mackay believes he leaves good foundations for his successor to build on.
In a statement released by his agent to Sky Sports News, he said: "I leave with my head held high having gained a level of experience that, upon reflection, I suspect would have been difficult to find anywhere else in British football.
"The foundations laid here at Cardiff City will provide a solid platform for my successor and for the sake of the club I hope the progress that has been made so far will not be impaired in any way to today's enforced changes."
Mackay also spoke of his sadness at leaving Cardiff after two-and-a-half years at the helm
"It is with the deepest and most sincere regret that I today confirm my sacking as manager of Cardiff City Football Club," he said.
"As disappointing as today's decision is, I am already able to look back at my time at the club with immense pride and joy given the number of milestones the club achieved during the last two-and-a-half years.
"A League Cup final appearance followed by promotion to the Premier League for the very first time, achieved as winners of the Championship, allowing the club to move back to this elite level after a 51-year absence."