Anderson is in a relationship with Lebanese writer, costume designer and voice actress Juman Malouf. Malouf gave birth to the couple's daughter, Freya, in 2016. She is named after a character from the film The Mortal Storm.

Anderson lives in Paris but has spent the majority of his adult life in New York. He is the brother of artist Eric Chase Anderson, who illustrated the Criterion Collection releases of Anderson's films (except for Moonrise Kingdom) and provided the voice of Kristofferson Silverfox in Fantastic Mr. Fox.