Klay Thompson has spoken publicly about his split from Megan The Stallion for the first time. Source: Katelyn Mulcahy / Getty It's been almost a week since Megan Thee Stallion announced her breakup, and it's still making waves on social media. The public discourse surrounding her split from Klay Thompson is split down the middle, and the latest public figure to speak out with their opinion is Stephen A. Smith, who-unsurprisingly-sided with the NBA star. On a recent episode of his podcast, Straight Shooter, Stephen A.