The British star has played police officer-turned-survivor Rick Grimes in the post-apocalyptic US series since its inception in 2010.
London-born Lincoln, 45, announced his Walking Dead departure earlier this year and viewers have been waiting eagerly to see how his character leaves the show.
His final episode - season nine, episode five - aired in the US on Sunday and opened moments after the previous installment had finished, with Lincoln on the brink of death.
After the show had finished and Lincoln’s fate had been revealed, fans took to Twitter to share their sadness.
One viewer said: “I can’t remember the last time I cried this hard over a tv show. That broke me.
Another said: “My family is laughing at me, because I’m literally sobbing. SOBBING.”
One fan wrote: “Thank you Andrew. I am so ready for everything you will be doing in and out of The Walking Dead Universe. Your performance as Rick Grimes is one I will never forget.”
A viewer said: “Gotta give a shoutout to Andrew Lincoln for beautifully portraying Rick Grimes for over 8 years. The show and the fandom will not be the same without you at the heart of it.”
And another tweeted: “im still crying!!! RIP Rick Grimes! We love you.”
Walking Dead director Rosemary Rodriguez shared a selfie of her and Lincoln on set.
It was captioned: “Tonight is all about this bundle of love! This smile is everything I need to feel grateful. Tonight is not the end, but a new beginning in #TWD and I’m excited to see what’s next! After I stop feeling sad, of course.”
After the show aired it was revealed Lincoln’s involvement with the franchise was not over.
He will be starring in a series of original films from AMC Studios - the company behind The Walking Dead - which will continue the story of Grimes.
The first film is expected to begin production as early as 2019. Lincoln is also set to direct a Walking Dead episode next season.
Lincoln said deciding to leave the show was not easy.
Speaking before his final episode aired, he said: “No, I’m still, I’m - I’ve just been on set and I regret the decision terribly. It’s the best thing, it’s amazing the show - terrible idea. I mean - no, look, I mean every day that I’m with my family and I see my children’s faces I know it’s the right decision. It’s that simple. But I miss it terribly and I miss the relationships and I miss the people.
“But I’ll just - it was the goodbye, the goodbye was amazing, you know, ‘cause it’s everybody that’s worked with me for - alongside the show, you know, for nine years. There’s a lot of people that are still there, who were there on the first day, and that’s an immensely moving testament to the show, really.”
The Walking Dead will air in the UK on November 5 at 9pm on FOX.