The couple released the news in a joint statement.
"We are continuing to parent our four children together. They are the light and the center of both of our lives. We consider this a private matter and neither we nor any of our friends or family will have further comment. We ask for compassion and respect from the media and the public."
The Terminator actor and Shriver met in 1977 at a tennis tournament and married in 1986.
Schwarzenegger, 63, recently announced he was returning to show-business and has signed up for three new films.