We have, but it’s quite rare. Minor planets anyway. This is evidence of a minor planet the size of Ceres that got broken up by a white dwarf star - like our sun but billions of years into the future.

Shows a Ceres size asteroid getting disintegrated by a white dwarf, within a million years all that debris ends up in the star and all you have left of it is a dusting of unexpected elements in the star. Image credits: CfA/Mark A. Garlick.

White dwarf “Death Star” seen destroying a planet

There’s a tiny chance that this may be the fate even of some of our gas giants, especially the smaller ones (not the huge Jupiter) in the distant future according to one theory: Our Solar System Could Lose One Or More Of Its Gas Giants Billions Of Years In The Future

Our asteroid belt however doesn’t seem to be the result of a disintegrated planet. But it does happen here on a small scale. Many of the asteroids are broken up bits of larger asteroids, indeed asteroids often get hit by other asteroids, break up, and then the pieces collect together again under gravity so many asteroids are thought to be loose piles of rubble held together by gravity as the result of that happening, perhaps many times.