Cates is estranged from her mother. In 1989, Cates married actor Kevin Kline, whom she had originally met while auditioning for the part that Meg Tilly ultimately won in The Big Chill. Kline and Cates make their home in New York City and have two children, Owen Kline, born in 1991 (who, in 2005, received rave reviews for his performance in The Squid and the Whale), and Greta Kline, born in 1994. Owen and Greta appeared in Cates' most recent film, The Anniversary Party (2001). The film was an ensemble drama written and directed by Scottish actor Alan Cumming and Cates' real-life best friend of the past 25 years, Fast Times at Ridgemont High co-star Jennifer Jason Leigh. In the film, Cates played, fittingly enough, a Hollywood actress who has retired from acting to be a full-time mother.

In 2005, Cates opened her own boutique called Blue Tree on New York's Madison Avenue.