In a video posted on his Twitter account, the Penrith and Border MP said: "I'm leaving that Gothic shouting chamber of Westminster, I'm getting away from politics which makes me sometimes feel as though Trump has never left London.
"I want to walk through every borough of this great city to get back to us on the ground, making change local and showing that the way we do it is not through division but through love."
Earlier today the former Conservative leadership hopeful confirmed he will resign as an MP at the next general election.
The mayoral election in 2020 will pit him against current Labour mayor Sadiq Khan and Conservative candidate Shaun Bailey, who was backed by the Prime Minister in his Tory conference speech on Wednesday.
The 46-year-old MP was first elected to the Penrith and the Border constituency in 2010.
That was after serving as the coalition deputy-governor of two provinces in southern Iraq following the 2003 invasion.