Tully, who has been a regular for the Grecians for the last six-and-a-half years, has hooked up with Salisbury on trial after financial restrictions meant a contract offer to keep the 33-year-old at St James Park had to be withdrawn.
Tully had returned to pre-season training with his City team-mates before heading to Salisbury and Grecians boss Paul Tisdale admits it was a tough situation.
"I believe that Steve is training with Salisbury," he told the Western Morning News. "I don't hold that against him and it was his choice.
"We put him in a very difficult situation and not one I would like to do often with anybody. But he will have to look after himself and make the right decision for him.
"I believe that Steve has been with Salisbury for over a week now training with them and I don't know what the state of play is with his situation there, but he decided he was better off looking elsewhere rather than waiting.
"It is a shame that he has left us after playing so many games and contributing so much, but that is the nature of the game, I suppose."
Tully made over 260 appearances for the League Two side and his highlights in their colours included scoring the winning penalty in a play-off semi final shoot-out against Oxford which sent the Grecians to Wembley for the first time in their history.