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.

An eyewitness said Charing Cross underground station "filled with smoke" at about 15:20 BST.
One person has been arrested in relation to the incident, British Transport Police said.
The station was closed for more than half an hour until the smoke cleared.
Allie Elwell, who was in the station at the time, said there were "cops everywhere".
She said: "It was madness. There were fans singing and cheering down the tunnel.
"We turned the corner and could smell smoke. Fans seemed to just ignore it all, still singing and banging on the side of the escalator.
"Soon after, there was announcement on the PA to evacuate due to an emergency. We jumped on one of the last Tubes."
Crystal Palace play Manchester United in the FA Cup final at Wembley later.
The area is now safe and the fire alarms have been reset, with the station reopening just before 16:00
TfL did not say which group of fans were responsible.

Former Manchester City and Liverpool striker Balotelli, 26, protested at his treatment in a social media post.
Plea said: "We heard monkey noises in the warm-up and during the game. A few supporters insulted him the whole game. Balotelli was very, very upset."
Bastia released a statement on Saturday expressing surprise at the allegations.
"Having never noticed nor been informed, either by the referees, the delegates or any member of Nice of any incident of this type, it is with surprise that our club discovered these accusations, which carry considerable harm to the image of our club as a whole," the Bastia statement said.
French governing body Ligue de Football Professionnel (LFP) has announced an investigation into Balotelli's allegations.
The Bastia statement added: "Taking note of the LFP announcement of an inquiry, our club is now at the disposal of the authorities so that all light is shed on this type of behaviour, which is by its nature stupid and unacceptable."
Balotelli has scored 10 goals in 15 games for Nice since joining on a free transfer from Liverpool in August, two years after a £16m move to Anfield.
In 2013 he suffered abuse from Roma fans while playing for AC Milan and threatened to walk off the pitch if he was subjected to it again.
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.
[NEXT_CONCEPT]
A Tube station was evacuated after football fans heading to Wembley Stadium set off a smoke bomb and fire alarms, Transport for London (TfL) has said.
[NEXT_CONCEPT]
Nice midfielder Alassane Plea has confirmed he heard racist abuse directed at team-mate Mario Balotelli during Friday's 1-1 draw at Bastia.