Jude Law and his ex wife Sadie Frost are still a close-knit family ... even though they're no longer together.

The 38-year-old actor and his ex, as well as their kids Rafferty, Iris and Rudy, hit up Fred Segal in Santa Monica for an afternoon shopping trip.

Just last week in London, Law joined more than 100 protesters in support of Belarus Free Theatre. Find out what he had to say about the cause ... after the jump.