The Only Murders In The Building star - who lost his wife Nancy in 2010 after a battle with ovarian cancer - was left devastated when Katherine took her own life in February at age 42, and he has now reflected on his grief for the first time in an interview with CBS News Sunday Morning.
"It's been a nightmare for the family. But the understanding (is) that mental health and cancer, like my wife's, are both diseases, and sometimes with diseases they are terminal," Short said.
"And my daughter fought for a long time with extreme mental health, borderline personality disorder, other things, and did the best she couldn't until she couldn't.
"So, Nan's (Nancy's) last words to me were: 'Martin, let me go.' And what she (Katherine) was just saying (was): 'Dad, let me go'."
The 76-year-old TV star - who is the subject of new Netflix documentary Marty: Life Is Short - went on to admit he had been struggling with tragedy since in 2025 after losing his sister-in-law, as well as his friends Diane Keaton, Rob and Michelle Reiner, and Catherine O'Hara.
"Suddenly, last October, I lost Diane Keaton on the same day I lost my sister-in-law, Nancy's sister, to cancer. Then Rob and Michelle (who have) have been my lifelong friends for 40 years ...
"And then Catherine O'Hara and then my daughter. I mean, it's been in four months. Staggering."
Short's life has been full of sadness as he was just 12 years old when his older brother David died in a car crash and he went on to lose both of his parents, Olive and Charles, in quick succession before he had reached 21.
However, the actor is convinced dealing with so much loss has helped him get through the tough moments when they come.
He told the TV show: "What it developed in me was this muscle of survival and handling grief and a perspective on it," later adding: "You head for the light."
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