"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, which was posted alongside a photo of the pair sharing an embrace.
"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," they concluded the statement, adding that they were "totally crying as we post this."
The Dirty Dancing star, 60, and the actor-screenwriter, 58, tied the knot in July 2001 on Martha's Vineyard beach.
The two had been dating since summer 2000.
They welcomed their now 18-year-old daughter, Stella Gregg, in December 2001.
Last month, Grey wished her ex a happy Father's Day and praised the Captain Marvel star in an Instagram 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. 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," she wrote.
Also last month, Gregg shared a sweet photo of himself, Grey and their daughter at her high school graduation.
"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," Gregg wrote.
Gregg is best known for playing Agent Phil Coulson in the Marvel Cinematic Universe, beginning with Iron Man in 2008.
Grey starred as the iconic character Baby in the 1987 film Dirty Dancing.
She has since had roles on The Conners, Grey's Anatomy and won season 11 of Dancing with the Stars.