The way to make progress with Agnes Craig is firstly, as has been suggested, to look at the two marriage records for Walter and Agnes. It's possible that they might provide a clue. Then see if you can find baptisms for the children and note who the witnesses are. There might be Craig relatives amongst them.
If Agnes was from Berwickshire, there are two Agnes Craigs recorded as being born in the period 1800 - 1810:
Agnes baptised 23-11-1803 (Hutton), parents Robert Craig and Elizabeth Johnston
Agnes baptised 5-10-1807 (Eyemouth), parents George Craig and Elizabeth Lister
Looking at Peacocks born 1800 - 1840, the following baptisms come up with parents Walter Peacock and Agnes Craig:
Walter, baptised Edinburgh 17-10-1828
Mary, baptised Dalkeith 17-11-1836
Looking for 1800 - 1840 Peacocks shows the following, who looks like your man:
Walter Peacock, baptised Haddington 7-2-1803, parents Walter Peacock and Mary Ferme
Several other children are baptised with the same parents. Walter and Mary's marriage* is recorded in Haddington on 22-4-1799 and in Prestonkirk on 4-5-1799.
* What is recorded varies from place to place and from time to time. You don't know exactly what you have until you look. It can be them contracting, banns being read, or the marriage itself.