The couple began dating back in 2011, and sparked rumors of an engagement last year after she was spotted wearing a diamond ring.
She said: "We are currently not together. He is a wonderful person. But there are some things with which he has to deal.
"I will not explain it in detail. This was hard on our relationship. I no longer felt free. We'll see how it goes."
When asked if she would like to get married in the future, she said: "I'd love to. And I would like to have children. Hopefully it will work out sometime."
O'Neill previously starred as Del Rey's love interest in her video for 'Summer Wine' last year.
Del Rey topped the UK album charts at the weekend with her second album Ultraviolence.
Watch the video for Lana Del Rey's 'Summer Wine' below:
Via Digital Spy