Dunham met his first wife, Paige Brown, at the Comedy Corner in West Palm Beach, Florida. They began dating in December 1992. In May 1994, Dunham married Brown and adopted her one-and-a-half-year-old daughter, Bree. Their daughters Ashlyn and Kenna were born in 1995 and 1997, respectively. Dunham's time away while performing proved a strain on the marriage, and in November 2008, he filed for divorce. By mid-2009, Dunham was in a relationship with fellow Texan Audrey Murdick, a certified nutritionist, personal trainer, and competition bodybuilder, and on December 25, 2011 they became engaged. On October 12, 2012, the couple married. On May 14, 2015, Dunham announced, via Facebook, that he and Audrey were expecting twin boys. In October, she gave birth to James Jeffrey and Jack Steven.