Earlier this month it was announced the Portuguese manager was to leave Wolves by mutual consent at the end of the season.
According to a report, Cathro is one of seven set to follow despite a contract until 2021.
Nuno transformed the English club, guiding them from the Championship to their highest finish since 1980.
The former Porto boss leaves with best win percentage of any manager in the club’s history.
Cathro was one of Nuno’s trusted lieutenants having worked with him at both Rio Ave in Portugal and Spanish giants Valencia.
The 34-year-old’s appointment as Hearts boss in 2016 prompted plenty of intrigue and interest. However, he lasted just 30 games.
Despite the struggles at Tynecastle, Cathro remains a highly-regarded coach and was snapped up by Nuno.