Balfe married actor Gary Cooper on December 15, 1933, at her mother's home at 778 Park Avenue, New York; the wedding had been planned for the Waldorf Astoria hotel, but the location was probably changed to avoid public attention. In 1937, Balfe gave birth to their daughter, Maria Veronica Cooper. Following Cooper's death, Balfe married John Converse in 1964. She was an enthusiastic sportswoman and was the female California skeet champion in the 1930s. She also enjoyed golf, swimming, tennis, and scuba-diving.