Wall married dancer Marion Pola and the couple had five children. In an interview with the family in the mid-1950s, "Tit-Bits" magazine wrote: "The kind of private jokes you find in all the nicest families flourish with the Walls. After Max and his wife, Marion, had their first son, Michael, it seemed kind of natural to make a corner in names beginning with ‘M’, and there are now Melvyn (aged nine), Martin (nearly five) and the four-month-old twins Meredith and Maxine. ... In the same way, because the Walls, like other couples married during the war, were eventually thrilled when they found a house with four walls of their own, they decided to call it just that, only Martin arrived and made it ‘Five Walls’."