Kelly revealed she was done after a letter was sent around to faculty in her sons' school that claimed 'white school districts across the country [are] full of future killer cops'.
It added that 'white kids are being indoctrinated in black death' and are 'left unchecked and unbothered in their schools'.
Her sons Edward, 11, and Thatcher Bray, 7, attended the Collegiate School on Manhattan's Upper West Side.
The piece, written by Orleans Public Education Network Executive Director Nahliah Webber, was circulated among a parents' 'diversity group' at her son's school following the police shooting of Floyd.
On Monday, Kelly told her podcast 'The Megyn Kelly Show' that she had already pulled her two sons from the $55,900-a-year private school as she accused the city of allowing 'woke' leftism to take over.
The former Fox and NBC host claimed she also plans to move her nine-year-old daughter, Yardley Evans, from her city school as the family looks to relocate away from the hyper-liberal Big Apple.
'After years of resisting it, we're going to leave the city. We pulled our boys from their school, and our daughter is going to be leaving here soon, too,' Kelly said of her and her husband Doug Brunt's decision.
Collegiate School is ranked as one of the best private schools in the country and also claims to be the oldest.
It counts JFK Jr., his nephew Jack Schlossberg, and Game of Thrones co-creator David Benioff among its alumni.
Roman Abramovich and CNBC broadcaster Andrew Ross Sorkin are among those who sent their children there.
'The schools have always been far-left, which doesn't align with my own ideology, but I didn't really care, most of my friends are liberals, it's fine. I come from a Democrat family, I'm not offended at all by the ideology, and I lean center-left on some things, Kelly admitted.
'But they've gone around the bend,' she continued. 'I mean, they have gone off the deep end.' Request for comment from the school on the issue has not yet been returned.
Kelly's decision came just a few weeks after she spoke about her delight for her three children to be returning to in-person learning for the new academic year.
She emphasized that she believed that schools should remain opening despite the coronavirus pandemic in an interview with People magazine. 'My boys went back to school in September and my daughter just went back to school this week. And it's glorious. I'm so thankful,' Kelly said.
'I feel really strongly that the schools need to be back opened. Not just mine — mine are open now, so I don't need to advocate for my kids. But what is healthy for the children is for them to be in school.