The couple announced the news on Friday in a joint statement posted on their social media accounts.
"After 19 years together, we separated in January, knowing we'd always be a family who loves, values and cares for each other," their statement began.
"We recently made the difficult decision to divorce, but we remain close and are deeply grateful for the life we've shared and the wonderful daughter we've raised," it continued. "P.S. totally crying as we post this."
The "Dirty Dancing" star, 60, and the Marvel star, 58, married in July 2001 on a beach in Martha's Vineyard. Their daughter, Stella, was born in December 2001.
Last month, Grey wished Gregg a happy Father's Day in an emotional post. "Happy Father's Day @clarkgregg. I love you and am beyond grateful you showed up just in the nick o' time to make my dream come true," she wrote.
"For continuing to show up as a devoted, loving dad and partner to raise this amazing human with. couldn't have done it without you," Gray added.
The family also celebrated another milestone last month: Stella's high school graduation.
Gregg congratulated his daughter on social media.
"Have to beam on this one for a moment. Stella Gregg, you didn’t get the senior spring you deserved, but you worked so hard and (almost) never complained about the zoom classes and zoom senior day. You are deep and wise and hilarious and the world will be better off in your hands. I love you," he wrote.
Gregg is best known for his MCU role as Agent Phil Coulson, and Grey previously won season 11 of "Dancing with the Stars."