Stephen Lang, who played Waldo on Into the Badlands, left the AMC series after season 2 - but there was a reason for his exit. Lang was a series regular for Into the Badlands' seasons 1 and 2, and his last appearance was in the season 2 finale, "Wolf's Breath, Dragon's Fire". His departure came in the aftermath of an intense battle between the Widow (Emily Beecham) and Baron Chau (Eleanor Matsuura).
In Into the Badlands season 1, Lang's Waldo was introduced as a retired, wheelchair-bound - but far from defenseless - Clipper and the mentor of Sunny (Daniel Wu). It was Waldo who took Sunny under his wing as a child and taught him how to be a killer. He played the role of a mentor in season 1, giving advice to Sunny whenever he needed it. Though still a friend to Sunny, Waldo left for the Butterfly Territory after Baron Quinn's fall at the end of season 1. He became the Widow's Regent, a job that he maintained throughout season 2.
A throwaway line in the season 3 premiere revealed that Waldo, along with several others, abandoned the Widow following their last battle. This was hardly a proper ending for a character who had been featured prominently throughout the series, acting as a voice of reason for Sunny in season 1 and the Widow in season 2. The only clue to his whereabouts was a deleted scene in the home video release of season 2 that has Waldo become the new baron of the Armadillo Territory. Whether or not this is canon is not known, since this scene was cut from the episode.
Waldo was supposed to be made a baron by the Widow, but the direction that the war was taking may have convinced him to cut his losses and leave. Regardless of his reasons, it's not surprising at all that Waldo wasn't in the show's third season. Around the same time that season 3 would have been filming, Lang was currently shooting scenes for Avatar 2 as well as its sequel, Avatar 3, which were being filmed back-to-back. For this reason, Lang had a busy schedule that easily could have conflicted with Into the Badlands.
Waldo's exit was finally resolved in the Into the Badlands series finale. In the opening scene, Sunny and Widow have a rare moment of bonding as they look back on their mutual friendship with Waldo. The Widow gives Waldo's sword to Sunny, and tells him that she thinks Waldo would have wanted him to have it, "wherever he is now". Waldo never received a proper sendoff, but this moment at least provided some form of resolution for the character.