Colon, the fourth overall pick of the 2010 Draft, hit .176 in seven games for the Royals this season.
"I appreciated his competitiveness," manager Ned Yost said. "And he was just a tremendous teammate in that room."
Added left-hander Danny Duffy, "I know he's going to miss the boys in this room, but this is a great opportunity for him."
O'Brien played in 27 games for the Royals' Triple-A affiliate in Omaha, hitting .162 with three home runs and six RBIs.
Jeffrey Flanagan has covered the Royals since 1991, and for MLB.com since 2015. Follow him on Twitter @FlannyMLB. This story was not subject to the approval of Major League Baseball or its clubs.