The couple, who represent Windsor wards Castle Without and Clewer East respectively, announced their decision in a joint statement last night.
They said the move came 'after a combined 24 years of loyal service, and having pushed more leaflets through more doors than we wish to remember'.
It followed this week's government budget announcements by Chancellor of the Exchequer George Osborne.
UKIP - the UK Independence Party - was founded in 1993 to campaign for the UK's withdrawal from the European Union, and is the UK's fourth main political party.
The Bursnalls' statement read: "The budget was the last nail in the coffin.
"The Conservative party is no longer the party for the aspirational 'go getter'; no longer the moral crusader for a lower taxed nation; and no longer the party that trumps meritocracy over political gesture."
It added: "UKIP is now the natural home for those aspirational folk who want a party that seeks to remove state interference from everyday life, lower the tax burden for everyone, and restore our country as a competitive player in the global arena.
"On a local council level, the Windsor and Maidenhead Conservatives remain very sound, believing in cutting taxes for residents without cutting frontline services. We will continue work with them at a council level."
Cllr Catherine Bursnall served as mayor of Windsor and Maidenhead in 2010-11.
During her term of office she gave birth to the couple's first baby Lara.
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The Met Office has issued a yellow alert for Windsor and Maidenhead, Slough and Wokingham, warning that rain moving eastwards across the south of the country may turn to snow in some places.