O'Kennedy, who has been managing director since 2005, does not yet have a departure date and his replacement has not been decided.
He said: "Obviously, this kind of decision doesn't come lightly. It's been a magnificent ride with a stellar team, but now it's time for my next challenge.
"Last time I did something like this, I ended up sailing round the world for two years, so it's anyone's guess what I'll do next."
O'Kennedy has had a number of stints at Wieden & Kennedy; he first joined the agency in Portland, Oregon, as account director on Nike during the launch of the first "Just do it" campaign in 1988.
He ran the account for the next two years, before moving to Nike as international marketing director.
In 1998, he co-founded the brand consultancy Circus and before that he was the chief operating officer for Lowe Group Europe, before returning to W&K Portland at the start of 2005 to run the EA account. Later that same year, he was appointed managing director of Wieden & Kennedy Amsterdam.
During his tenure as managing director, O'Kennedy has contributed to global business wins such as Coca-Cola and Procter & Gamble.
Dave Luhr, global chief operating officer, said: "I've known Tim for 25 years; we've experienced some of Wieden & Kennedy's most historical moments together and I have a huge amount of respect for him.
"Obviously, it's sad to see him move on. Tim throws himself into every role, every project, 150%."