TMZ sources claim the newlyweds' Alaskan Klee Kai, Waldo, was struck and killed by a car in New York City earlier this week (July 24) after it broke free from a dog walker and ran into the street.
A representative for pop star Jonas tells the outlet it was "a freak accident".
Joe and Sophie didn't get around to reporting the incident to police until Friday, with sources claiming the couple needed to take time to deal with the tragedy.
Joe was spotted walking Waldo's brother, Porky, on Thursday.
The couple adopted both dogs last year (2018).