Leunig's first marriage, to Pamela Munro, ended in divorce. He married his second wife, Helga, in 1992 but separated in the 2010s. A film documentary about his life by Kasimir Burgess, "The Leunig Fragments", was released in 2020 and reveals various difficulties that Leunig has experienced with family relationships. He did not attend his parents' funerals and is not in regular contact with his sibings. His four children were all born on notable dates: Gus on Guy Fawkes Day 1974, Sunny on Valentine's Day 1980, Minna on Australia Day 1992 and Felix on Christmas Day 1994. All of his children had homeschooling.