"It has been an extraordinary gift and I'm incredibly grateful for the existence of Scully in my life and for the gift that Chris gave me in casting me, and my friendship with David, and it's been a wonderful run, but I've got other things to do," Anderson said of The X-Files, with author Sarah Rodman reporting Anderson's American Gods exit comes as result of the departure of showrunners Bryan Fuller and Michael Green.
Anderson played new god Media in the series' first season.
Actress Kristin Chenoweth, who portrayed goddess Easter, also credits the loss of Fuller and Green as making her future with the show unclear.
"When Bryan was the showrunner, I was coming back for several episodes, but I don't know now," Chenoweth told Variety. "It depends on who it is and if they think I add value or not."
The 11th — and likely final — season of The X-Files is now airing on Fox. Anderson will next appear in action comedy The Spy Who Dumped Me alongside Kate McKinnon and Mila Kunis before a turn in drama Andorra with co-stars Guy Pearce and Toni Collette.