The 29-year-old is out of favour at West Brom and his contract with the Championship club was due to run until the end of June.
There had been speculation he could look to cut it short in order to seek a move elsewhere and he has now done so.
According to Danish daily BT, Zohore has terminated his contract with the Baggies and is returning to Denmark.
He has agreed on a contract with Danish Superliga side OB, which will run until the end of the season.
Zohore had a spell at OB earlier in his career and is now heading back to the club, albeit on a short term deal.
OB currently sit in fifth place in the Danish top flight and Zohore will be aiming to play regular football.
He has not turned out for West Brom this season, being an unused substitute in the Championship on two occasions.
