It has recently been announced by the government that the FSA will be split up from 2012 and Mr Pain is said to have come to the conclusion there will not be space for his role within the new structure.
Under the changes announced by chancellor George Osborne, the FSA will cease to exist in its current form, with the division which monitors banks and other companies in the financial sector becoming a subsidiary of the Bank of England.
Mr Pain is to stay on in his position until the changes are made at the FSA, with the regulator setting a target date of January 2011 to achieve the reorganization.
Hector Sants, chief executive of the FSA, said: "I would like to express my appreciation for Jon's outstanding contribution and strong leadership in his time at the FSA."
By Tony Aynsley