In the past, Jennings has worked in both South Africa and the UK, so it is unclear whether he will return to England.
Jennings joined Saks Fifth Avenue in February 2004 as president and chief merchandising officer. He had been president of Holt Renfrew Specialty Store Group in Canada and, before that, deputy chairman of the Brown Thomas Group in Ireland.
He is most widely recognised in the UK for his role at the helm of House of Fraser, which he quit in 1996 after nearly four years in the job.
Jennings has also held the positions of general manager and board member of Harrods and has worked at various department stores in South Africa.
Saks said it had no plans to replace Jennings at present. Chief executive Stephen Sadove added that Jennings had agreed to stay at the business for another month, to ensure a smooth transition.
Saks operates 54 stores throughout 25 states in the US.
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