She was spotted wearing her wedding ring as she walked around the streets of Greenwich in Connecticut on Wednesday.
Catherine cut a glum figure as she hid behind a pair of sunglasses and puffed on a cigarette.
She and Michael released a joint statement about their separation last week, which said the couple are "taking some time apart to evaluate and work on their marriage".
As Michael promoted his Liberace film 'Behind The Candelabra' in Germany on Monday, he insisted everything was ok between him and his wife.
"I have a crisis at home? No, I think the press has a crisis. We, we are fine. My wife and I are, are fine. We take a temporary separation, but the press, it gives you stuff to write about," he said.
The couple married in 2000 in a lavish ceremony at Manhattan's Plaza Hotel in New York, and are parents to 13-year-old Dylan and 10-year-old Carys.