diff --git a/tensorflow_probability/python/distributions/linear_gaussian_ssm.py b/tensorflow_probability/python/distributions/linear_gaussian_ssm.py
index 0938fbd242..facb6e6b34 100644
--- a/tensorflow_probability/python/distributions/linear_gaussian_ssm.py
+++ b/tensorflow_probability/python/distributions/linear_gaussian_ssm.py
@@ -61,7 +61,7 @@ def _safe_concat(values):
   for x in values:
     try:
       full_values.append(ps.reshape(x, reference_shape))
-    except (TypeError, ValueError):
+    except (TypeError, ValueError, ZeroDivisionError):
       # JAX/numpy don't like `-1`'s in size-zero shapes.
       full_values.append(ps.reshape(x, trivial_shape))
   return ps.concat(full_values, axis=0)