The accountancy firm has been with the scheme since it was started more than five years ago.
Prince Andrew hosts the Pitch@Palace event where entrepreneurs pitch their ideas to a room full of business leaders and investors.
Buckingham Palace said in a statement: "KPMG's sponsorship contract with Pitch@Palace ended at the end of October. A full programme of Pitch@Palace events is continuing across the United Kingdom."
Another sponsor, the pharmaceautical giant AstraZeneca, said its sponsorship agreement with Pitch@Palace is now under review.
A spokesperson for the firm said: "Our three year partnership with pitch@palace is due to expire at the end of this year and is currently being reviewed."
Royal Editor Chris Ship explains how lawyer Gloria Allred has used Prince Andrew's language aimed back at him
Over five years, the scheme has created 6,000 jobs and £1 billion worth of investment. Entrepreneurs who take part in the programme operate at a 97% survival.
Given palace aides always point to the success of Pitch as an example of the good work Prince Andrew does, both announcements today suggest his association with Jeffrey Epstein is now affecting his royal duties.