"I stuck it with it as long as I could, and at some point, I realized I've reached a point of diminishing returns and I left," said the former Fox News host.
"Scientists tell us that next month will be historically bad unless you make a personal decision to follow the Fauci."
Appearing as MC at the International Press Freedom Awards, Smith also announced he would donate $500,000 to the Committee to Protect Journalists.
Footage of Fox News correspondents Neil Cavuto and John Roberts reacting to Shep Smith's announcement of his Fox News departure has gone viral.
"...the spinning that has been done by the president's defenders over the last 24 hours since this very damaging whistleblower complaint came out—the spinning is not surprising—but it is astonishing, and I think deeply misleading."
Carlson said viewers "know dishonesty when they see it" in dig at fellow host following views on Trump's alleged crimes.
"As we just reported, there's no new wall," Smith said, "only replacement for walls which were in need of repair or upgrade. Those are the facts."
Fox News host Shepard Smith used the opening statement on his show Monday to deliver a heartfelt message to America and its lawmakers on gun violence.
"Attacks on women, attacks on gays, attacks on the dead relatives of your own residents across your own island," Smith said to Ricardo Rosselló. "Is it even safe for you to continue to attempt to govern?"
Trump used "an old trope that has been used against people of color," Harris Faulkner said.
"They're not going back because it is horrendous where they came from," Smith said during the segment.
"We're not going to speculate here of the cause of something we don't know," said the Fox News anchor. "If you have observations, or you know something, we would love to hear it."
Fox News host Shepard Smith fact-checked President Donald Trump's claim to reporters Tuesday that it was former President Barack Obama's administration who created policies to separate families and cage children at the border.
CNN's "where they should be working, along with their lowest rated anchor, Shepard Smith!" Trump tweeted.
On Wednesday, Warren apologized for on Capitol Hill for claiming to be "American Indian" on her Texas State Bar registration card from 1986.
In an unusual sign of disagreement between Trump and his favorite TV news channel, Fox News anchor Shepard Smith disputed several claims made by the president during his border wall address.
The news host broke down the president's Twitter attacks and lack of condemnation of Russia for election meddling.