Never make the assumption that "our family" never had any divorces. Married couples have had difficulty getting along since marriage began.
Divorce is not one of those stories that always gets passed down in families. It is easier to "not pass" the story down if the marriage does not result in children or the divorced parties do not remarry. My third great-grandmother was divorced twice. My great-uncle was divorced from his wife and no one ever told anyone about it. I never would have thought to look for a divorce record except his death certificate indicated that he was divorced.
Divorce records are usually kept with the county records. Give them a look. You never know what you will find out. And remember, even a divorce record on an uncle or aunt may provide testimony from their siblings or clues as to where the family lived previously.