Eleven people were killed when a vintage Hawker Hunter jet crashed into traffic on the A27 on 22 August.
West Sussex chief fire officer Sean Ruth said the recovery operation was "extremely challenging" for crews.
Sussex Police have also finished their work at the scene, but their investigations are continuing.
Mr Ruth said the fire service had been "truly humbled" by the messages of support it had received.
"The thoughts and prayers of everyone at West Sussex Fire and Rescue Service continue to be with the families and friends of those killed and injured in the Shoreham Air Show tragedy," he said.
He anticipated that Friday would be the last day his crews worked at the scene and wanted to thank people for the "over-whelming support we have received".
"In my 27 years of service I have never experienced such an outpouring of gratitude and respect as I have received on behalf of West Sussex Fire and Rescue Service over the last few weeks - from letters and emails, to words of thanks in the street, and from visitors at a number of our local fire stations," he said.
Det Chief Insp Carwyn Hughes, of Sussex Police, said: "Our officers and staff have been meticulous and have worked hard over the past three weeks to find answers for the victims' families.
"We have now finished work on the A27, however our investigation continues."
On Thursday, the Air Accidents Investigation Branch (AAIB) said it wanted to interview 51-year-old pilot Andy Hill as soon as possible.
Reports that Mr Hill, a former RAF pilot from Sandon, near Buntingford in Hertfordshire, had left hospital have not been confirmed by police.
An initial AAIB report said Mr Hill was thrown clear of the aircraft during the later part of the crash, but it is not clear whether he initiated his ejection.
After the crash, the pilot's family issued a statement which said they were devastated and deeply saddened by the loss of life and sent prayers and heartfelt condolences to the families of all those affected.
West Sussex County Council said the single closed westbound lane of the A27 was expected to be reopened to traffic next week but screens will stay up on the roadside indefinitely for reclamation work on the land to be completed.
Fire crews are expected to leave the site of the Shoreham Airshow disaster later after spending nearly three weeks at the scene of the crash.