Nicky, who was one of only two players to be offered a new contract by recently-appointed manager Darrell Clarke - the other being midfielder Liam Kinsella - has decided to turn down the deal in favour of a return to Scotland.
The 25-year-old right-back made 85 first-team appearances after swapping Ayr United for Walsall in the summer of 2017 and was offered a new two-year deal following the conclusion of the 2018/19 campaign.
Speaking via his official Twitter feed Nicky admitted that it was time for he and his family to move on before insisting that he loved his time at the club and has met some amazing people who he will never forget.
The Bishopbriggs-born defender said; "Time to move on from Walsall FC after two years! I’ve loved my time here and it was a pleasure to play for the club! I’ve met some amazing people that I’ll never forget. Thanks for your support even through the difficult times! All the best. UTS!"
Walsall will not be short of options in the right side of defence as Cameron Norman and recent arrival James Clarke will be battling it out for a starting spot when the season gets underway in early August.