Dunphy was a daily Mass-goer until he was preparing for marriage to his first wife, Sandra from Salford, when he was 21. He was Catholic and she was Protestant. The priest instructing them for marriage disapproved strongly of the mixed couple, saying that he should not marry her because she was not a proper person. Dunphy's observance was already weakening but he quit his daily Mass-going at this point. He and Sandra had two children, a boy and a girl, and Dunphy is now a grandfather. His first marriage ended and he moved to Castletownshend in Cork for two years in the early 1990s. He lived with another partner, Inge, before meeting his second wife, RTÉ commissioning editor Jane Gogan, in the Horseshoe Bar in Dublin in 1992. They married at the Unitarian Church on St Stephen's Green on 24 September 2009.