David Harbour Is 'So Grateful' for Wife Lily Allen: 'I Have Someone I Can Tell Everything to'

David Harbour is a happily married man.

In this week's issue of PEOPLE, the Stranger Things star, 46, who wed Lily Allen in a low-key Las Vegas ceremony last September, opens up about finding his perfect match.

"I'm so grateful that I'm not alone anymore, and that I have someone that I can tell everything to and who can tell me everything," he says.

"We can share this experience of walking through life together," he continues. "I'm always so overcome with gratitude for that, because I've been alone for most of my life."

The actor, who plays a Russian superhero in Black Widow, out Friday, has been enjoying family time with Allen and her two daughters: Ethel, 9, and Marnie, 8. Recently, the foursome embarked on a road trip.

"It was from Atlanta to New York in the brand-new Dodge Charger stick shift that we bought — with the kids complaining the whole way about how there was no legroom," he jokes.

Harbour is especially enjoying his new role as a stepdad.

"We all recently went to a Gay Pride event at the Brooklyn Museum, and I decided to heavily embarrass my step-daughters with some horrible dancing," he reveals. "I was the only one on the dance floor!"

Black Widow is in theaters Friday.