His maternal grandmother reportedly suffered a stroke and passed away in the early hours of Friday morning aged 85.
A source close to the former Paris St. Germain player told The People newspaper shortly after: "He is absolutely devastated. He and Peggy were very close."
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A friend of David's added on Saturday that Peggy had been suffering from a long-term illness.
"'Peggy was suffering from a long illness, she'd had a stroke and was in hospital. She was on a life support machine but sadly she died in the early hours of Friday morning.
"David is really upset, he was extremely close to both Peggy and Joseph. He would speak to Peggy lots... The whole family is grieving for a wonderful woman right now."
Peggy, who was David's mum Sandra's mother, lost her husband four years ago and had been living in an East London nursing home for the past two years, where David made a surprise visit to her last year.
David, 38, showed just how close he was to his grandparents by taking them along to Buckingham Palace when he was awarded an OBE ten years ago.
As a young boy, the father-of-four visited their London home every weekend while his dad was working.
He was told the news on Friday and was immediately comforted his mum, Sandra.
The former England captain put on a brave face on Saturday, taking his sons Brooklyn, 14, Romeo, 12, and eight-year-old Cruz to watch the QBE International rugby match at Twickenham.
The football star was seen smiling, yet pensive, alongside his sons from the VIP box as he watched England battle it out against Argentina.