"It was an arrogant mistake," the actor said in a statement to Access Hollywood.
Penn initially filed the papers on April 24 in Marin County, Calif., citing "irreconcilable differences" as the reason for the split.
It marked the second time the Oscar winner and his wife had filed for separation – the first time coming in December 2007. However, they reconciled in April 2008.
Penn, 48, and Wright, 43, wed in April 1996.
The couple has two children — daughter Dylan Francis, 18, and son Hopper Jack, 15.
Penn and Wright have starred in several films together, including 1988's "Hurlyburly" and 1997's "She's So Lovely."
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