The motorcycle entrepreneur - who was married to Oscar-winning actress Sandra Bullock for five years until 2010 - has split from the Tattoo model after the distance between the pair became "too much".
Kat is based in Los Angeles, while Jesse raises his kids Chandler, 16, Jesse Jr., 17, and seven-year-old Sunny, in Austin, Texas.
He told People: "I'm so sad because I really love her. The distance between us was just too much."
The couple - who got engaged in January - had been planning a wedding to mark their one-year anniversary later this summer.
Writing on her twitter page, Kat confirmed the separation, saying: "I am no longer w Jesse, and out of respect for him, his family and myself, thats all the info I'd like to share. Thanks for respecting that. (sic)"
Jesse - who had multiple affairs throughout his marriage to Sandra - recently insisted he would forgive Kat if she ever cheated on him.
He said: "If she cheated on me, I would forgive her and still love her."
The 42-year-old star also claimed she was better in bed than his former lover Sandra, because the couple were "connected on a whole different level".
When quizzed on who was a better lover Kat or Sandra, Jesse replied: "That one's an easy no-brainer. (It's Kat) 100 percent ... She's a vixen.
"The way she, like, gets in my head and makes me feel - it's a mental thing. [We're] just connected on a whole different level."
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