Senate Judiciary Committee Chairman Lindsey Graham also commented on McMahon's departure, expressing his disappointment and praising her work.
Sources told the website, however, that she plans to play a big role in Trump's 2020 re-election campaign.
The couple were major donors to Trump, but Linda McMahon did not arrive at her Cabinet position without some political experience.
Linda was expected to join Trump at his Mar-a-Lago club in Florida this weekend. President Barack Obama elevated the SBA administrator to a Cabinet-level position in 2012. She and husband Vince co-founded the massively popular World Wrestling Entertainment Inc.
Cristiano Ronaldo forced off with injury during Euro 2020 qualifier
He was playing in an global for only the second time since last summer's World Cup. It has been eight months because I needed time for myself.
Trump named McMahon as the head of his SBA back in December 2016.
Mrs. McMahon said it was an honor to serve 30 million small businesses that are optimistic and hiring.
Politico reported McMahon's plan to depart the government earlier on Friday.
"Linda McMahon has done an incredible job as the head of the Small Business Administration". She ran unsuccessfully for US Senate in CT twice. "Linda is going to be a phenomenal leader and champion for small businesses and unleash America's entrepreneurial spirit all across the country".