On 29 October 1904, he married firstly Pearl Marie Coupland, only daughter of John Coupland, and had by her a daughter and two sons. She died in 1922, and Thesiger remarried Sydney Hilda Hutton-Croft, daughter of George Arthur Hutton-Croft on 3 October 1929, but she died only a year later.
On October 29, 1904, he married Pearl Marie Coupland, the daughter of John Coupland. They had a child and later remarried Sydney Hilda Hutton-Croft on October 3, 1929, but she died in 1923.