While she was at Cambridge University, Thompson had a romantic relationship with her fellow student, actor Hugh Laurie, who was also a member of the Cambridge Footlights Revue.

Thompson married Kenneth Branagh, with whom she appeared in Fortunes of War, on August 20, 1989. They appeared together several times, in hit films such as Dead Again, Henry V and Much Ado About Nothing, but were eventually divorced in October 1995.

In 2003, Thompson married actor Greg Wise (who starred with her in Sense and Sensibility) with whom she has a daughter, Gaia Romilly, born in 1999. In 2003, Thompson and Wise informally adopted a 16-year-old Rwandan refugee named Tindyebwa Agaba. They are currently fighting his deportation back to Rwanda where it is thought all his family were killed in the genocide.