EXCLUSIVE

Jay Mohr has filed for divorce from Nikki Cox, but we're told it could go the way of Patrick Dempsey.

Mohr filed legal docs Tuesday to end his 9-year-marriage and followed up with an emergency petition Wednesday for full physical custody. In his papers, he claimed Nikki suffers from depression and self-medicates and he worries their 5-year-old son might be at risk if left alone with her. The doc say the drug problem is "serious" and "ongoing."

The judge said he wanted to hear from both, so set the hearing for next month.

In the meantime, Jay and Nikki told us Thursday, "We are very married. Very in love. Very happy and that's really all there is." Translation ... they're trying to work it out.