The couple has been married for more than 10 years and has four children together, Usmagazine.com said Thursday.
In documents filed May 12, Jennifer Murray accuses her husband of "adultery, addiction to marijuana and alcohol, abusive behavior, physical abuse, sexual addictions and frequent abandonment," the Charleston Post & Courier reported.
Usmagazine.com said Bill Murray's lawyer told "Entertainment Tonight:" "Bill Murray is deeply saddened by the breakup of his marriage. He and his wife are loving parents and they are committed to the best interests of their children and Mr. Murray has asked that the public respect his privacy at this difficult time."
Murray, a former "Saturday Night Live" cast member, has starred in the movies "Caddyshack," "Stripes," "Ghostbusters," "Rushmore" and "The Royal Tenenbaums."
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