Bjørndalen resides in the village of Obertilliach, Austria. He also used to live in Toblach, Italy, with Italian-Belgian biathlete Nathalie Santer. They started dating in 1998 and married on 27 May 2006. On 4 October 2012, they filed for divorce by mutual consent.
In April 2016, along with announcing that he will continue his career until the 平昌2018年冬季奥林匹克运动会 in , Bjørndalen confirmed that he was in a relationship with Belarusian biathlete 達荷亞·多姆拉切娃, and that she was pregnant with the couple's first child.[5] On 7 July 2016, they married in Sjusjøen, Norway.[6] Their daughter Xenia was born on October 1, 2016.[7]