The 20-year-old Finn made five starts and netted three goals during his spell at Tannadice, which saw him mainly used as a substitute.
A statement on the club's website, dundeeunitedfc.co.uk, read: "The club today confirmed that Lauri Dalla Valle has departed Tannadice to return to his parent club Fulham. He leaves with the club's best wishes for his future."
Following Saturday's match against Celtic, when he was an unused substitute, Dalla Valle wrote on his blog, www.ldvandjuuli.com: "I would have liked to start more games and to score a few more goals but I still think that my loan spell went OK.
"I feel like I've gained valuable experience from this and that I've improved during the last four months.
"I couldn't have asked anything more from the club. My team-mates, the coaching staff, the people that work at the club they've been all brilliant with me since day one. That made my time even more enjoyable."
