The two were introduced to each other in 2009 by Shepherd pal Niecy Nash's then-fiance, Jay Tucker. They have no children together.
Recent reports had alleged that the union was "in trouble," Page Six said late Thursday.
RadarOnline reported Thursday that the marriage had already taken an "incredibly nasty" turn, with sources alleging that Sally was giving the comedienne "the blues" and hadn't reached the level of success he'd promised her.
"Their whole relationship was built on a fraud and it's finally over," a source told the site. "She's thrown him out of the house and he's tried to speak with her, but nothing is happening."
The "30 Rock" and
"I was great with Jeffrey," Sally told Radar, adding that he missed Jeffrey. "He was in my life for four years."
Shepherd filed for divorce from her first husband Jeff Tarpley back in 2006 after learning that he was having an affair and was having a baby with the woman. The messy proceedings lasted for several years, and the actress based her character in "Sherri," her shortlived autobiographical Lifetime sitcom, on Tarpley. She also riffed on him in her stand-up act and brought up the split occasionally on "The View."
"My husband had this affair, so I was going through this divorce and I had started doing stand-up about it," Shepherd told The Times in October 2009. "The producers of my last show, 'Less Than Perfect,' knew my husband, so when they heard some of my material they started crying and then they were laughing and then crying again. They said to me, 'This is the show we want to do. This is very real. Women will be able to relate to this.' When we screened the pilot, people were howling. They were stomping on the floor. And they were of all colors, because this is a subject that has no color. It is pretty universal. Ask any politician."