Harold Lloyd married his leading lady, Mildred Davis(d.1969), on Saturday, February 10, 1923. Together, they had two children: Gloria Lloyd (1924–2012), and Harold Clayton Lloyd, Jr., (1931–1971). They also adopted Gloria Freeman (1924–1986) in September 1930, whom they renamed Marjorie Elizabeth Lloyd, but who was known as "Peggy" for most of her life.
Lloyd, for a time, did not want his wife Davis, continuing her acting career. He later changed his mind, but by that time her movie career was over. Davis died from a heart attack in 1969, two years before Lloyd's death. Though her real age was a guarded secret, a family member said that she was 66 years old.