The 52-year-old Scot is reported to have moved out of the family home in Dunning, Perthshire, and be living in a hotel.
The father-of-three said: “I would rather not comment on my private life or marriage, but I can confirm that I raised proceedings some time ago seeking divorce from Gaynor.
“We are separated and in the process of divorcing. There are no third parties involved and I ask that you respect our privacy in this difficult time.”
Montgomerie, known affectionately as “Monty”, has been a professional golfer since 1987 and captained Europe to Ryder Cup victory in 2010.
He was number one in Europe for seven years from 1993 but has famously never won a Major event, though he has three senior major titles.
He and Ms Knowles, a Scottish millionaire and widow of furniture tycoon George Knowles, married at the Loch Lomond Golf Club in 2008.
Since their split, Montgomerie has reportedly been living at hotels, with his father in Scotland and at his brother’s home in Newcastle.
Montgomerie and his first wife, Eimear Wilson, the mother of his children, divorced after 14 years in September 2004 after she accused him of unreasonable behaviour due to his “obsession” with golf, reaching a settlement worth a reported £15 million.
He was later linked to Spanish model Ines Sastre and dated a divorced neighbour.