A self-proclaimed "very difficult man", Shaw was married eight times. Two marriages were annulled; the others ended in divorce: Jane Cairns (1932–33; annulled); Margaret Allen (1934–37); actress Lana Turner (1940); Betty Kern, the daughter of songwriter Jerome Kern (1942–43); actress Ava Gardner (1945–46); "Forever Amber" author Kathleen Winsor (1946–48; annulled); actress Doris Dowling (1952–56), and actress Evelyn Keyes (1957–85). He had two sons, Steven Kern (with Betty Kern) and Jonathan Shaw (with Doris Dowling). Both Lana Turner and Ava Gardner later described Shaw as being extremely emotionally abusive. His controlling nature and incessant verbal abuse drove Turner to have a nervous breakdown, soon after which she divorced him. In 1940, before eloping with Lana Turner, Shaw briefly dated actresses Betty Grable and Judy Garland and, according to Tom Nolan's biography, had an affair with Lena Horne.