In 1994, Hockey married Melissa Babbage, an investment banker, later head of foreign exchange and global finance at Deutsche Bank. The couple has three children and they live in Hunters Hill, New South Wales.^[16][17] He has walked the Kokoda Track^[18] and has climbed Mount Kilimanjaro to raise funds for medical equipment.^[19]Hockey and his wife own a 200 hectare cattle farm in Malanda, near Cairns, Queensland. In 2012 he lost more than 20 kg following gastric sleeve surgery.^[20]

In 2014 Hockey launched defamation proceedings against Fairfax Media over an article published in its newspapers, The Sydney Morning Herald, The Age and The Canberra Times, titled Treasurer for sale,^[21] which he said falsely implied that he accepted bribes paid to influence his decisions and that he corruptly sold privileged access to a select group of Liberal Party donors. A trial was held to determine whether the allegations were defensible in March 2015 in the NSW Supreme Court before Justice Richard White, where Hockey argued that false allegations of the nature contained in the article, and the conduct of Fairfax during the proceedings, evidenced a malicious intent to smear his otherwise good reputation and consequently would justify the award of aggravated damages. Justice White has reserved his decision.