The investment adviser, who was 43 years old, was on a business trip in Montenegro, according to a spokesperson for Peters.
The couple was married in July 1996 at the home of Peters' longtime friend Mary Tyler Moore.
Wittenberg shared Peters' devotion to animals. In fact, the couple had adopted two pets, a pit bull named Stella from the CACC and a mixed terrier called Kramer from the ASPCA. The couple did not have children.
In February 1999, Peters told Playbill that "[marriage has] been great. It's been like this secure, rooted place, so it allows my tree to branch out. I've never worked as much since I've been married, taking risks and doing things."
Peters is a two-time Tony Award winner for her work in Song & Dance and Annie Get Your Gun. She took part this past weekend in a benefit concert for the victims of Hurricane Katrina at the Gershwin Theatre.
There will be a private memorial only for relatives and close family friends.