Breaking up is Easy to Do (2) - S11-E15
Revealing mistake: When Al falls on the bed with the shoe and puts the hole in the water bed, the shoe doesn't hit the bed anywhere near where the water starts to shoot out from.
Revealing mistake: Obvious dummies when Al tosses Peg off him on one of their separate beds and when Al falls through the bedroom floor to the den.
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