Kelly's rep later confirmed the split to People Magazine.
"They care about each other and it was amicable," a source told the magazine Friday. "They're still friends."
Kelly, 31, was seen cheering alongside Jeter's family last month at Yankee Stadium when the shortstop got his 3,000th hit.
The couple, who tried to keep a low profile, were often the subject of marriage rumors.
Kelly is starring in this fall's reboot of "Charlie's Angels."