There could be two meanings (based on the context):
step out idiom
3. Informal To go out for a special evening of entertainment.
4. To withdraw; quit.
Step out (meaning 3.)
Sarah Jessica Parker and hubby Matthew Broderick were spotted last night having dinner in New York City.Step out (meaning 4.)
According to the Daily Mail, there are “fresh reports” that the couple have been “living separate lives for some time.”