Fox is the daughter of the actor James Fox and 'Mary Elizabeth Piper', and the sister of Laurence Fox and also has three additional brothers. A large portion of her family is involved in acting, including her father, three of her four brothers, her uncles, her husband, and her sister-in-law. On 8 September 2007 she married the actor, comedian, writer, and director Richard Ayoade. She is also the sister-in-law of the actress Billie Piper.