McGregor, 28, had been questioned along with Big Brother contestant Kenneth Tong and footballer Filipe Morais in Glasgow last November.
Strathclyde Police launched an investigation after the allegation was made, but the Crown Office said yesterday there was "insufficient evidence" to prosecute the three men.
A spokeswoman for the Crown Office said yesterday: "A report was submitted to the procurator-fiscal at Glasgow concerning Kenneth Tong, Allan McGregor and Filipe Morais in connection with an alleged sexual assault in Glasgow in November 2009.
"After very careful and detailed consideration of all the facts and circumstances following an extensive police inquiry, Crown Counsel have decided that there is insufficient evidence to satisfy legal requirements to institute a prosecution."
The spokeswoman said the procurator-fiscal has told the person who made the allegations of the decision and has offered to meet her if she had any queries. "The former suspects have been informed that in the circumstances there will be no proceedings," the spokeswoman added.
A source close to McGregor said: "He's relieved and wants to put the whole episode behind him.
"He maintained he was innocent of any wrongdoing, although he has accepted that he shouldn't have put himself in this position."
A lack of evidence undermined the case against the three men, who all vehemently denied any wrongdoing.
The woman alleged she was attacked after meeting Mr Tong in a nightclub and ending up in a flat with the three men last November.