The seven times world champion, 45, has reportedly left his partner Mandy for 26-year-old Lauren Thundow, a former Butlins worker.
Mr Hendry, now retired, dominated world snooker for a decade and won more than £10 million in prize money. His wife of 19 years is said to be "in pieces".
Mrs Hendry said: "I am heartbroken that Stephen has made he decision to leave the marital home, relocate to England and pursue a new relationship.
Mr Hendry and his wife were teenage sweethearts, meeting when he was just 16.
They married in 1995 and have two children, aged 17 and nine.