Dunham met his first wife, Paige Brown, at the Comedy Corner in West Palm Beach, Florida, after she had sent him a fan letter following a previous performance. They began dating in December 1992. Brown, who had a one and a half year-old daughter, Bree, moved out to Los Angeles in June 1993. Dunham married Brown, and adopted Bree in May 1994. They would have two other daughters, Ashlyn in 1995 and Kenna was born in 1997. Though Dunham never missed major events such as birthdays, his work would keep him away from home two and a half to three weeks a month, which proved difficult for the family. By January 2008 Dunham's career proved such a strain to their marriage that they began marriage counseling and Dunham was so depressed that he canceled a week's worth of shows, something he had never done before. In November 2008 Dunham filed for divorce. The months following the end of his marriage were a devastating period for him, resulting in difficulty in being on stage, as Walter's jokes about marriage rang a bit too true. In 2009, Dunham met fellow Texas native Audrey Murdick, a certified nutritionist, personal trainer and competition bodybuilder, and by mid-2009, they were in a committed relationship. On December 25, 2011 Dunham and Murdick became engaged.