David Hasselhoff's just been spotted for the first time since his ex-wife and the mother of his two children took her own life.

The "Baywatch" star ventured out Friday in Calabasas ... going on a walk with a friend and keeping a low profile.

David wore a black T-shirt, black pants, and kept his mug tucked under a plain blue baseball cap ... walking down the sidewalk in sneakers.

We hadn't seen 72-year-old David since we broke the story earlier this month of his ex-wife Pamela Bach's death ... she tragically died at 62 from a self-inflicted gunshot wound to the head.

David and Pamela were married from 1989 to 2006, and they had two children before a nasty divorce ... with disputes about monthly child support payments extending into 2017.

DH previously told us, "Our family is deeply saddened by the recent passing of Pamela Hasselhoff. We are grateful for the outpouring of love and support during this difficult time but we kindly request privacy as we grieve and navigate through this challenging time."

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