The former Emmerdale actress left the reality TV series after an incident between her and fellow housemate, Ryan Thomas.
A spokeswoman for Pallett told the Press Association: "Roxanne chose to leave the CBB house late last night after deliberating for two days with some sensitive issues she felt strongly about".
Roxanne accused Ryan of punching her and asked Big Brother if he could be kicked out of the house.
He was reminded of the show's rules and given a formal warning.
The pair later spoke about the incident, and Thomas told her: "I want you to know from the bottom of my heart I was showing my affection". A boy has punched me repeatedly, unprovoked and deliberately punched me. "I promise you, you've got it wrong and I apologise if it has come across that way".
Roxanne then mentioned how she wants to leave the house so that she can be with her fiancé.
Looking emotional, the star said: "I'm just a little bit in shock".
Getting the gist of the story, she said: 'All I'm saying is, I'm telling you now, if there had been violence in here then they would have come in and taken him out.
Sally took the opportunity to be brutally honest with the actress, as she told her: 'I think people just think that you spent the night in [the separate room] because of what happened, and you still stayed.
During Thursday's show Thomas was seen approaching Pallett in the kitchen before appearing to use his fist to make contact with her body.
Celebrity Big Brother continues at 9PM daily on Channel 5.
"We both know and Roxanne knows there was no malice, hurt or anger in anything I did during this time".