The two-time major winner and former world number one broke off their five-month engagement just days after invitations for the wedding were sent out.
News of the split was confirmed by McIlroy in a statement through his communications consultants in Dublin.
Faced with having to answer for the decision as he prepared for the BMW PGA Championship, McIlroy said: “I’m not going to lie. It’s going to be very difficult. But you know, at least when I get inside the ropes I can just try and concentrate on the shot at hand. But yeah, it’s obviously going to be difficult.”
The pair enjoyed a short-lived engagement after announcing to their million-plus Twitter followers last New Year’s Eve that they were to marry. At the time the two posted matching pictures of themselves with a ring.
It seemed rumoured cracks in the three-year relationship (with speculation of a brief break-up after Wozniacki tweeted an unflattering picture of the golfer in deep sleep) had been mended.
As recently as Sunday, McIlroy’s Twitter feed reflected no signs of trouble in the relationship after he posted a picture from Nobu restaurant in Monte Carlo where the pair dined.
McIlroy appeared downbeat, but was quite candid when taking questions ahead of the tournament at Wentworth, where he is fourth favourite to lift the title on a course that does not suit him. He chanced a rueful but wide smile when asked about spending the weekend on a course that he “loves”.
“Look, I think I’m no different than anyone else. Everyone has been through break-ups and it’s obviously very, very difficult,” he said. “But look, I’m here to try and concentrate on this week and answer questions about golf and that’s what I’m going to do.”
Wozniacki, 23, born in Denmark to Polish parents, reached world No 1 in her sport in 2012 but has yet to win a grand slam. The tennis ace now sits at No 14 in the world rankings with the French Open at Roland Garros next week.
She sported a large diamond ring, said to be worth about €120,000, since the engagement.
Days before the break-up was announced, McIlroy took to Twitter to rubbish reports that the wedding was to take place in New York in August.