Knudsen's first marriage was to Adrian Samish, a radio executive. The two eloped after Knudsen's June 8, 1942, performance in My Sister Eileen and went to Media, Pennsylvania, to marry. On June 15, 1949, Knudsen married Jim Jordan. Jr. in Los Angeles, California. They had three daughters together. Jordan was the son of Jim and Marian Jordan, better known as Fibber McGee and Molly. On February 12, 1962, Knudsen married Francis S. Kellstrom, an electrical contractor. They separated that July and were divorced October 22, 1962.