The team also released tight end Matt Lengel.
Alie-Cox originally signed with Indianapolis as an undrafted free agent in 2017. He has played 25 career games with three starts and has 15 receptions for 226 yards and two touchdowns.
The Colts signed Jegede an undrafted free agent last year. He spent his rookie season on injured reserve.
Turay entered the NFL as a second-round choice of Indianapolis in 2018. He has appeared in 18 career games with three starts and has 20 tackles, 5.5 sacks and two forced fumbles.
Turay appeared in four games last season before going on injured reserve.
Lengel signed a futures contract with the Colts on Dec. 30. He has played 19 career games wit three starts in his career.