Breaking up is Easy to Do (2) - S11-E15
Continuity mistake: Before the dinner date, Peggy takes a plate of raw meat out of the dishwasher. Bud and Kelly go to help her put it on the stove, but Peggy's plate is now empty and the meat is on another plate already on the stove. Yet strangely, Bud and Kelly take the empty plate from her anyway and put it on the stove next to the other one.
Continuity mistake: In one of the scenes where Bud is forcing Kelly to eat, he tries to feed her cheese whiz but she resists and some of it gets on the side of her mouth. In the very next shot, when Peg runs in, the cheese is no longer on the side of Kelly's mouth.
Answer: It's implied that Steve filed for divorce since in s04e16, "You Gotta Know When to Hold 'Em", Marcy says that Steve is suing for alimony. Alimony is something that has to be requested when filing for divorce. Although the show doesn't spend time on the actual legal proceedings of their divorce.
Bishop73