Thelwell joined Wolves in 2008 from Derby County as academy manager and rose through the ranks to take on the role of sporting director in 2016.
Thelwell is now set to follow in departing head of medical and LA Galaxy bound Phil Hayward's footsteps by making the leap overseas.
The 46-year-old will relocate with his family to New York to take on a newly created similar head of sport role at the MLS side.
And Thelwell says it has been a privilege to work at Molineux.
He told the club website: “To work at Wolves for the length of time that I have has been both a pleasure and a privilege.
“When I first took over as sporting director, we were on the brink of being relegated to League One, and when I look at the progress made and where the club is today I am proud to have played my part.
“I would like to say a huge thank you to everyone at the club, and of course the fans, for making the club what it is today - I am sure there are many more great times ahead and I look forward to watching and supporting from a distance.
“It was always going to take something special for me to leave Wolves and I feel very lucky to have been offered such an exciting new challenge for both my family and I in the United States.”
Thelwell was appointed to the Wolves board of directors in August and will now relinquish that role.
Wolves' chairman Jeff Shi says he will now absorb Thelwell's roles and responsibilities as Wolves review their structure.
He said: “Kevin has excelled in his role and has helped us build exceptional teams throughout Compton, in the Academy, recruitment, medical and analysis departments.
“The role of a sporting director is much broader than most people think, with a variety of different complexities and challenges, and without a doubt Kevin has fulfilled the expectations of the board and I over the last three-and-a-half years.
“While there is of course natural sadness to see Kevin depart, his desire to embark on a new chapter was something we discussed openly together and we all wish him the best of luck in his new role.
“Every departure is a chance to build an even stronger team, and I will assume Kevin’s roles and responsibilities while we take this opportunity to review our structure and make sure we are as efficient as we can be, and built for future success.”