In 1895, O'Reilly married Eleanor McCulloch and there were three children of the marriage. During his wife's illness, which lasted for many years, O'Reilly had a difficult and lonely life, which was brightened by a correspondence with a cousin in England whom he had met when she was a child. His father had taken him on a visit to Europe when he was 14. His cousin was too young at the time to have any memory of him, but after the death of O'Reilly's wife in August 1914, the letters gradually developed into love-letters and in June 1917 they were married. Their letters were collected, and published in 1927 under the title of "Dowell O'Reilly From his Letters, an illuminating revelation of his interesting personality". In 1920 O'Reilly made a small collection of his short stories from the "Sydney Bulletin" and other periodicals, and published them under the name of "Five Corners". He died after a short illness of cerebrovascular disease and pneumonia at Leura in the Blue Mountains. He was survived by his wife, two sons and a daughter, afterwards Mrs Eleanor Dark, a leading Australian novelist.