Penelope married Charles Dimont, a journalist, in 1937. They had two daughters, including the actress Caroline Mortimer. She also had two daughters through extra-marital relationships with Kenneth Harrison and Randall Swingler. She met the barrister and writer John Mortimer while pregnant with the last child and married him on 27 August 1949, the day that her divorce from Dimont became absolute. Together they had a daughter and a son, Jeremy Mortimer. Their relationship was said to have been happy at first, but soon grew stormy, and from the mid-1950s onward John had a series of extramarital affairs.