On September 1, 2001, Davis married Reza Jarrahy (b. 1971). They have three children: daughter Alizeh Keshvar Jarrahy (born April 10, 2002) and fraternal twin sons Kian william Jarrahy and Kaiis Steven Jarrahy (born May 6, 2004). The marriage is Davis's fourth. She was previously married to Richard Emmolo (1982–83); actor Jeff Goldblum (1987–90), with whom she starred in three films, Transylvania 6-5000, The Fly, and Earth Girls Are Easy; and Renny Harlin (1993–98), who directed two films in which she starred, Cutthroat Island and The Long Kiss Goodnight.