ST. LOUIS – St. Louis' Democratic circuit attorney announced an investigation Thursday into the alleged actions of Missouri Governor Eric Greitens a day after he admitted a 2015 extramarital affair.

Just after the State of the State address Wednesday, the governor admitted to a 2015 affair in a joint press release from him and his wife, Sheena.

Joint Statement from Eric and Sheena Greitens"A few years ago, before Eric was elected Governor, there was a time when he was unfaithful in our marriage. This was a deeply personal mistake. Eric took responsibility, and we dealt with this together honestly and privately. While we never would have wished for this pain in our marriage, or the pain that this has caused others, with God’s mercy Sheena has forgiven and we have emerged stronger. We understand that there will be some people who cannot forgive – but for those who can find it in your heart, Eric asks for your forgiveness, and we are grateful for your love, your compassion, and your prayers."

Additional Statement from Sheena Greitens

"We have a loving marriage and an awesome family; anything beyond that is between us and God. I want the media and those who wish to peddle gossip to stay away from me and my children."

Thursday afternoon, the Governor's personal attorney reached out to 5 On Your Side. He said while Greitens admits to having an extramarital affair with a woman, he denies slapping her and is considering legal action.

MORE | Lawmakers react after Gov. Greitens admits to having an affair

The new response came after an accusation that Greitens took nude photos of the woman and threatened to release them publicly if she disclosed the relationship. While Greitens admits to the 2015 affair, he said it was consensual, and strongly denied any claims that he took a photo and any allegations of violence.

Al Watkins is the attorney of who first released these accusations against the governor. He represents the ex-husband of the woman who had an affair with Greitens.

The ex-husband recorded his then-wife admitting to all the details about the affair. In that recording, the wife says Greitens slapped her during their affair. Watkins said the ex-husband went public because reporters started making calls and he knew he could no longer protect his children from the three-year-old secret.

Watkins believes the story is not going away, despite the Governor denying any blackmail allegations.

Greitens' attorney said the affair is coming to light now because a former Democrat state party chairman is behind it and wanted Greitens to take a political hit.

We have been asked repeatedly by reputable news outlets why we believe this nearly three-year-old news story is coming out now. The latest reporting has finally disclosed that the reporting was being driven by a "source" who is the former Democrat state party chairman and who apparently has not spoken to the person in question. This goes a long way to explaining what is going on. It's become clear this is a political hit piece. This is and remains an almost three-year-old private matter with no matter of public interest at stake. Eric and Sheena have worked through those issues long ago and Sheena put it best: "We have a loving marriage and an awesome family; anything beyond that is between us and God. I want the media and those who wish to peddle gossip to stay away from me and my children." Now we know who has been peddling that gossip.

Later Thursday afternoon, Democratic Circuit Attorney Kimberly Gardner announced a formal investigation into alleged actions of the governor.

"It is essential for residents of the City of St. Louis and our state to have confidence in their leaders," a release from her office said.

A statement from Greitens' attorney in response to the investigation announcement is as follows.

The governor firmly expects any investigation to exonerate him in full. These partisan allegations are being pushed as part of an effort to damage the governor politically.

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Editor's Note: 5 On Your Side has obtained the audio recording in which a woman claims a sexual encounter with Greitens in March of 2015. We have chosen to only air a brief portion of the recording because that portion raises potential legal questions. In the recording, the woman claims Greitens took a picture of her and then threatened to release it if she didn’t keep the encounter quiet.

5 On Your Side is not identifying or naming the woman involved in this story because she has yet to come forward with a comment. We have reached out repeatedly to get her reaction, but so far she has not responded to our requests.

WATCH | 5 On Your Side political expert Dave Roberts weighs in on what's next

WATCH | Governor admits to affair, denies blackmail

This is a breaking story. This story will be updated when more information becomes available.