Accountancy firm PwC has been appointed as administrators and will look for a buyer "as soon as possible".
McColl's, which has 1,400 stores, has a wholesale tie-up with Morrisons and Martin's newsagents.
Shops in Sheffield include Rural Lane, Wisewood; Ecclesall Road South, Hutcliffe Wood Road, Margetson Crescent, Low Edges Road and Green Lane, Dronfield.
It also has stores in Rotherham at Whitehill Lane; St John’s Green and Oaks Lane, Kimberworth Park; Broom Valley Road, Kilnhurst Road, Fleming Way and Wales Road.
It also has Green Spring Ave, Barnsley; Cuttholme Way, Loundsley Green, Chesterfield; Union Street, Harthill and Thomas Street, Swinton, Mexborough.
Supermarket Morrisons proposed a rescue deal on Thursday but McColl’s lenders were opposed.
A McColl’s spokesperson said: "In order to protect creditors, preserve the future of the business and to protect the interests of employees, the board was regrettably therefore left with no choice.”