Nielsen was born Gitte Nielsen in Rødovre, Denmark, the daughter of Hanne, a librarian, and Svend Nielsen, an engineer. She has a brother, Jan.

Nielsen is fluent in Danish, English, Italian and speaks some German.

Nielsen's first marriage was to Danish musician Kasper Winding, with whom she has a son, Julian (born in 1984). She was then married to actor Sylvester Stallone, her co-star in Cobra. She later became engaged (but not married) to American football player Mark Gastineau, with whom she has a son, Killian (born in 1989). She then married Swiss racecar driver Raoul Meyer from December 17, 1993 to 2005, and they have two sons: Douglas Aaron and Raoul Jr. Ayrton (named after her friend Ayrton Senna). It is often claimed that she married photographer/director Sebastian Copeland, but she says that it was not a legal marriage.

Nielsen married for the fifth time in March 2005 to bartender Mattia Dessi, who appeared briefly on Strange Love. The marriage was not off