“Really? When did they split up?”
Your friend tells you that someone you know has separated from his wife. You didn't know about that. You say this to express that you didn't know about it, and to ask for more details.
Really? When did they split up?
One of the main reasons to ask "Really?" is to show that you didn't know a certain fact before.
To "split up with" someone means to stop being in a relationship with them. This word is usually used for couples who are married or dating. You can also use it for bands that stop performing together. But it's a little strange to use it to talk about ending a friendship.
When you're naming the people involved, use "with":
He broke up with her on Valentine's Day? What the hell!?