She's Having My Baby (1) - S6-E1
Continuity mistake: In the prior episode, when Peggy tells Al she is pregnant, Jefferson just smiles at Al after she tells him. In this episode, at the beginning, when Peggy tells Al she is pregnant during the recap, Jefferson smiles at Al but also pats Al on the shoulder.
Answer: It's implied that Steve filed for divorce since in s04e16, "You Gotta Know When to Hold 'Em", Marcy says that Steve is suing for alimony. Alimony is something that has to be requested when filing for divorce. Although the show doesn't spend time on the actual legal proceedings of their divorce.
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