33-year-old Martin, a former teammate of Walsall manager Dean Keates at Peterborough United, joined the club on a deal until the end of the season following a spell as a free agent where he hoped to find employment at a Championship club.
The ex-Norwich City man made twelve appearances for the Saddlers, taking part in just four victories since his debut against Wycombe Wanderers in October. Russell, who had also formed part of the Saddlers' coaching team, struggled for form as he new team endured a poor run of results and performances.
Speaking via the club's official website - Saddlers.co.uk - Russell said; "The decision to leave Walsall is purely for family reasons. I haven’t been seeing my kids enough since the move and they are struggling with that.
"I need to be with my family more. There has been a lot of change in my life in such a short space of time and I need to put them first and spend a bit more time with my wife and kids. I have loved working with the lads, they are a fantastic group.
"I have loved working with the manager as well, he has been brilliant. Everyone at the club has been great and I have really, really enjoyed my time here. It hasn’t gone quite how we would have liked but I honestly believe the lads are getting there.
"I hope I have added some value at some point along the way to the players on and off the pitch. After a chat with the manager, he agrees that I need to put my family first."