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Peter Taylor will oversee the management at Gillingham in the short term.
The club’s director will be in charge for the “next few games” alongside coaches Steve Lovell and Mark Patterson.
Glen Johnson keeps his job as goalkeeper coach.
Gillingham are at home to Scunthorpe on Tuesday night and travel to Blackburn on Saturday.
Gills chairman Paul Scally said: “Following Saturday’s 3-0 defeat at Rochdale I spoke to both Ady Pennock and Jamie Day on Monday morning and, after some frank discussion, it was mutually agreed to terminate their contracts with immediate effect.
Ady Pennock leaves by mutual consent
“I would like to thank them both for their tremendous hard work and I’m extremely disappointed that their hard work didn’t result in a more positive outcome.
“Ady, without doubt, deserved his chance to run the team and I’m just sorry it didn’t work out for him.
“As is always in these cases the search will now begin for a new manager.”