The 23-year-old striker made the switch to Selhurst in a deal until January on transfer deadline day.
But he made just one substitute appearance for the Eagles and failed to settle in London.
Palace assistant manager Lennie Lawrence told the Croydon Advertiser: "David Goodwillie has agreed to go back to Blackburn Rovers as he's struggled to settle in London.
"It was in everybody's best interests that he went back, so that's happened.
"He just couldn't settle and it's just one of those things."