The announcement on Monday came four months after Schwarzenegger, an Austrian-born bodybuilder turned Hollywood action star, left office in January.
"This has been a time of great personal and professional transition for each of us," Schwarzenegger, 63, and Shriver, 55, said in a statement. "After a great deal of thought, reflection, discussion, and prayer, we came to this decision together."
The couple, who met at a charity tennis tournament in 1977 and married in 1986, did not mention whether they would divorce.
"We are continuing to parent our four children together. They are the light and the centre of both of our lives," the statement said. "We consider this a private matter, and neither we nor any of our friends or family will have further comment."
The couple had maintained their home in the Brentwood area of Los Angeles during Schwarzenegger's two terms as governor, with him commuting by jet to the state capital in Sacramento.
Schwarzenegger said in February he was ready to make movies again and announced recently he was developing a television show and comic book based on his political nickname "The Governator".
An industry source said last month that Schwarzenegger was likely to star in a new "Terminator" movie that would reprise his most famous role as the almost indestructible cyborg from the future.
Shriver, an author and former journalist for NBC, is active with a number of volunteer organisations.