Shue is married to movie director Davis Guggenheim. Their son, Miles William, was born on November 11, 1997. She gave birth to her first daughter, Stella Street, on March 19, 2001. Her third child, Agnes Charles, was born on June 18, 2006. Her son's middle name is in honor of her second brother, William. This brother died in 1988 at the age of 26 in a swimming accident.