Sevigny currently owns an apartment in East Village, Manhattan, which she bought for $1.2 million in 2006.

Sevigny became romantically involved in her teenage years with filmmaker/director Harmony Korine, who cast her in his directorial debut Gummo. Sevigny has been romantically linked to the actor Vincent Gallo and musician Matt McAuley of the group A.R.E. Weapons. Sevigny has also hinted at being bisexual: "I've questioned issues of gender and sexuality since I was a teenager, and I did some experimenting." She continued "I always ended up getting involved with my close girlfriends, and that was really bad ... I love women -- they're beautiful. What more can I say?".