Turns out his mother (Oscar-winning actress Louise Fletcher), who will first appear in Episode 9, has been in jail this whole time.
"Pete witnessed her murder this guy who was living with them," Daly tells TVGuide.com. "He doesn't know who his father is. His mother's had this long string of men because she's a drunk, and the one guy that kind of stuck around? Pete witnessed her stab him to death."
He'll be forced to relive the past in Thursday's episode when Violet gets curious. "Violet [Amy Brenneman] pushes him to [reveal] it. He doesn't want to talk about it or revisit it," Daly says. "Even after all these years it's still a fresh wound for him."
Pete's brother, who he hasn't seen since he was 13 years old, will also show up in Episode 9 with a plan to get their mom out of jail.