McGuire, one of the highest-ranking and longest-serving African-American executives on Wall Street, will make the announcement Thursday, The New York Times reported, eight months before the primary.
McGuire, 63 years old, was one of three finalists in 2018 to become president of the Federal Reserve Bank of New York.
Citigroup CEO Michael Corbat and Paco Ybarra, head of the bank's institutional clients group, said in a joint statement thanked McGuire "for his singular leadership and dedicated service to our firm since joining Citi in 2005."
"Ray has been a torchbearer, trusted and valued colleague and friend, admired by colleagues throughout Citi, from our facilities staff to the C-suite and board," the statement continued. "Please join us in congratulating Ray on this next phase of his journey of impact and wishing him much success."
The executive reportedly has been mulling a potential mayoral run for months.
McGuire, who is also chairman of banking, capital markets and advisory, has said that he would not participate in the city’s matching campaign finance system, allowing him to accept larger donations.
McGuire was born in Ohio and educated at Harvard. He has worked at Merrill Lynch and Morgan Stanley. He has been outspoken on issues regarding policing and the Black community.
After the death of George Floyd at the hands of Minneapolis police officers, McGuire told CNBC that the killing was “cold-blooded murder” and called on corporate leaders to take the necessary steps to combat racism.
McGuire would look to move into Gracie Mansion at a time when the coronavirus pandemic has worsened New York's financial outlook.
The city faces the loss of at least $9 billion tax revenue over the next two fiscal years, which could cause the layoffs of tens of thousands of city workers.
There is also a growing field of declared and likely candidates, including the Brooklyn borough president, Eric Adams; Scott M. Stringer, the city comptroller; and Dianne Morales, a former nonprofit executive.
City laws prevent the current mayor, Bill de Blasio, from running for a third consecutive term.
“New York gave me the opportunity to be enormously successful,” McGuire said in an interview with the Times. “Now New York is in a financial crisis that has exploded into a whole bunch of crises - educational, health and criminal justice. If there is a moment in history where my skill set can help lead, this is it.”