The 23-year-old striker has joined Championship side Bristol City on a three-year contract for an undisclosed fee.
Baldock, in fine form in pre-season, scored five goals for the club in 22 first-team appearances.
Speaking on the official site Baldock thanked the fans for their support during his time at the club.
“I would like to thank the fans for always supporting and encouraging me,” he said. “The fans are what make the club so special and are the driving force behind its success.
“There are some really great people involved in the football club who I wish every success for, and I also wish the team every success in the future.”