Family
- mother Elaine Madsen: Left a career in corporate business to pursue a writing career; often works for PBS; divorced from Madsen's father c. 1968
- sister Virginia Madsen: Born in 1961; acted together in "The Florentine" (1999) and "Ballad of the Nightingale" (1998); best know for her Academy Award nominated role in "Sideways" (2004)
- father Calvin Madsen: Divorced from Madsen's mother c. 1968
- sister Cheri Madsen: Owns a restaurant with her husband in Wisconsin
- son Kalvin Madsen: Born Nov. 5, 1997; mother, DeAnna Morgan
- son Hudson Madsen: Born May 20, 1995; mother, DeAnna Morgan
- son Luke Madsen:
- son Max Madsen: Born c. 1994; mother, Jeannine Bisignano
- son Christian Madsen: Born c. 1990; mother, Jeannine Bisignano
Companions
- wife DeAnna Morgan: Third wife; married in April 1996; formerly married to musician Brian Setzer
