Sergei Polunin had been due to star in a dance piece based on Billy Hayes' Turkish prison memoir "Midnight Express" opening next week in London.
But director Peter Schaufuss said the 23-year-old dancer did not show up for rehearsals on Wednesday.
Polunin's whereabouts could not immediately be determined Friday.
Schaufuss told the BBC he was "hugely disappointed" the young star had left.
"Artists have good and bad days -- that goes with the territory -- but rehearsals were going well," he said.
The dance company said Polunin's mentor, Igor Zelensky, had also left the production.
Ukraine-born Polunin became the youngest-ever male principal dancer at Britain's Royal Ballet when he was 19, but walked out of the company last year, saying he was giving up dance.
He later said he had quit because he could no longer handle the stress of a dance career.
Polunin, who moved to Britain at age 13, had spoken in a 2011 interview about the pressure he felt to succeed.
"I would have liked to behave badly, to play football. I loved sport," he told The Guardian. "But all my family were working for me to succeed. ... There was no chance of me failing."
Polunin later returned to performing under Zelensky at Moscow's Stanislavsky Ballet and has made guest appearances with the Royal Ballet.
When his role in "Midnight Express" was announced late last year, Polunin said it was "exactly the kind of work I want to be making, and I'm thrilled to be a part of it."
The Peter Schaufuss ballet company said understudy Johan Christensen would take over the main role in "Midnight Express," which opens Tuesday.
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