In the second part of the Season 3 finale "Hiatus", Gibbs's wife and daughter were revealed to the team. Ducky was shocked to learn this information, and even revealed his hurt about the secrecy in "Smoked." However, in this episode, it is shown that not only did Ducky know about Shannon, but he was responsible for Gibbs proposing to her.
Correction: Ducky knew Gibbs had tried to get back together with Shannon, but there was no reason for him to have any knowledge of a wedding that happened 2 years after he met Gibbs, while Gibbs was a serving Marine and Ducky was at NCIS. There is no evidence to suggest that the two men kept in touch while Gibbs was serving abroad, but Ducky believing that the 3 marriages after Shannon and Kelly were killed would be pretty strong evidence that they didn't.
It also makes Ducky's deep hurt on discovering Gibbs's marriage to Shannon, their child together, and their subsequent deaths more understandable. As he says at the end of the episode, he was responsible for Gibbs marrying Shannon, but he hadn't known anything about it.