The 41-year-old's departure came on the eve of Portugal facing Denmark in the Nations League, with Ronaldo saying he'd made the decision after Jesus's press conference and a conversation with Portuguese federation (FPF) president Pedro Proenca.
He added he would reveal the reasons for his departure "in due course".
"Following the national team manager's press conference, and after a conversation with the President of the Portuguese Football Federation, I have decided to leave the national team's training camp," Ronaldo wrote.
"In due course, I will tell all Portuguese people the truth about the reasons behind my departure from the national team, to which I have always been fully committed.
"Now is the time to wish Portugal and all my team-mates, without exception, the best of luck."
The FPF confirmed Ronaldo had left the camp but said preparations for the match against Denmark and Sunday's home game against Norway would continue as planned with the remaining 24 players.
The episode raises questions over whether one of football's greatest and longest international careers is nearing its end.
Jesus is facing a massive test of his authority only two matches into his tenure after he replaced Roberto Martinez following Portugal's disappointing World Cup campaign.
Jesus had earlier denied Ronaldo refused to train and urged reporters not to manufacture a controversy.
"He didn't refuse. He's going to train today," Jesus said before the session.
"It's the fourth day, so he's going to train. And he didn't refuse to train. It's impossible. Do you believe that? Not Cris."
Ronaldo did not play in Portugal's 2-1 away win over Norway on Sunday after Jesus told him he would come off the bench but ultimately decided against using him.
He then worked in the gym rather than with the squad on Monday and Tuesday, despite not being injured.
"Ronaldo was angry with me, but as far as I'm concerned, that's water under the bridge," Jesus said.
Ronaldo is Portugal's record goalscorer with 146 goals and their most-capped player with 234 appearances. While playing under Australian coach Ange Postecoglou at his Saudi Arabian club Al-Nassr, he's homing in on the amazing target of 1000 career goals, currently sitting on 979.
