Mr Miguna and his family left for Canada Monday night.
The Kenya Airport Police Unit said Mr Miguna, his wife and three children boarded their flight around 11pm at the Jomo Kenyatta International Airport.
“He (Miguna) carried a lot of luggage,” an officer said.
His departure comes just a day after the Director of Public Prosecutions wanted Mr Miguna questioned on claims he had evidence on Kenya’s post-election violence.
Mr Miguna had on Saturday, during the launch of his book, Peeling Back the Mask, said he was privy to the ODM campaign strategies and was present when the party declared that the 2007 General Election was a contest of 41 tribes against one.
“I can take every leader to The Hague, they should actually kiss my feet… They actually begged me to go back to office when they knew that I could spill the beans,” he said in Nairobi.
Responding to DPP Keriako Tobiko’s order, Mr Miguna said: “Does Tobiko or Iteere (Police Commissioner) work for the ICC? How does he know I haven’t spoken with the ICC? Jokers! That’s all I can say for now!”