His announcement was soon followed by confirmation that the British Boxing Board of Control had suspended his fight license "pending further investigation into anti-doping and medical issues."
Known as "The Gypsy King" because of his traveler heritage, the Briton has not fought since upsetting Wladimir Klitschko in November 2015 to claim the Ukrainian's four belts.
Fury was stripped of the IBF title just 10 days after the Klitschko clash because of a rematch cause in their contract that meant he could not face the organization's mandatory challenger Vyacheslav Glazkov.
He was due to meet Klitschko again in June but pulled out because of an ankle injury. The fight was rescheduled for October 29 but that bout was also canceled after Fury was described as "medically unfit to fight" fight by promoter Hennessy Sports.
The 28-year-old also faces a UK Anti-Doping hearing in November after traces of a banned substance were allegedly found in a urine sample in June.
'A bigger challenge'
"I feel that it is only fair and right and for the good of boxing to keep the titles active and allow the other contenders to fight for the vacant belts," Fury said in a statement released through Hennessy Sports Thursday.
"I won the titles in the ring and I believe that they should be lost in the ring, but I'm unable to defend at this time and I have taken the hard and emotional decision to now officially vacate my treasured world titles.
"I now enter another big challenge in my life which I know, like against Klitschko, I will conquer."
Fury's promoter Peter Hennessy said it was "heartbreaking" to see him give up his long-coveted titles. "What's paramount now is that he receives the medical treatment along with the love of his family and friends and the support of the boxing world to make a full recovery."
Peter Fury, his uncle and trainer, added the fighter "will be back stronger from this."
"I will make sure, no matter what we have to deal with, Tyson not only comes back but will reclaim what's rightfully his," he said.
Meanwhile, former WBA heavyweight champion David Haye told CNN World Sport that Fury was doing the right thing.
"He will be back. He's 28 years old. He's a young man. He's got no damage, no miles on the clock," Haye said Thursday.
"Hypothetically, if the worst happens, he'll get a two-year ban. He'll be back in two years, he's 30 years old and he's the former champion who's never been beaten."
'I'll be back'
In an interview with Rolling Stone
this month, Fury admitted to suffering from bouts of depression as well as "snorting cocaine, drinking daily and getting 'fat as a pig.'"
He also told the magazine that "if I could take my own life -- and I wasn't a Christian -- I would take it in a second. I just hope someone kills me before I kill myself. I'll have to spend eternity in hell."
Fury had tweeted his intention to retire from boxing last week but quickly went back on that announcement with another missive on the micro-blogging site which read: "Hahahaha u think you will get rid of the GYPSYKING that easy!!!"
He also posted a Photoshopped image of himself sitting behind piles of cocaine.
But he tweeted that he was "getting the right help" and vowed: "I'll be back even stronger than before -- try and stop me!"
A deeply religious Christian, and part of Britain's 40,000-strong traveler community, Fury is no stranger to controversy. He appeared to conflate homosexuality and pedophilia during an interview with the UK's Mail on Sunday
newspaper in November 2015.
A campaign to strip Fury of his nomination
for the prestigious BBC Sports Personality of the Year award was launched soon after, notching up tens of thousands of signatures.
In December, meanwhile, Fury was condemned
by boxing promoter Kellie Maloney, who accused him of "crossing the line" and told CNN: "Tyson has always been outspoken and said what he wants to say ... in a way he's become a bit of monster because now he's at the top of the pile."
However, others feel Fury is singled out for criticism and does not get the respect he deserves because of his gypsy heritage.
"If he'd been world champion but from another background, people would have respected him even if he said things that were daft," said Joseph Jones of the Gypsy Council, which works on behalf of Britain's gypsies and travelers, when speaking to CNN this month
Although recognizing some of the things Fury had said were controversial, Jones added: "It is negative stereotyping, not inside the Traveler community but outside it. If he had been from a different background, it would just have been: 'Oh, he's said something a bit daft.' But if Tyson says something even for a joke, it gets blown out of proportion."
Fury himself has also spoken of how he feels his traveler heritage is used against him, stating in his Rolling Stone interview that "it's been a witch hunt ever since I won that world title, because of my background, because of who I am and what I do."