Personal life
Rothschild and his then-girlfriend, Annabelle Neilson, a socialite and fashion model,—the younger daughter to Maxwell Frederick "Max" Neilson, an investment and property advisor, and his Italian noble wife, Marchesa Elizabetta Maria "Elizabeth" (née Campus [Di] Santinelli), an interior designer—eloped to Las Vegas, Nevada, on 13 November 1995. The couple had been in a relationship since 1991. They first met on a beach in Bali, Indonesia. The couple legally separated, at Neilson's request, in 1997, after less than two years of marriage, and their divorce was finalised in 1998, after less than three years of marriage.
Neilson later told the Daily Mail: "Nat and I had been together for four years and I was 26 when I married him. He first asked me to marry him half an hour after we met and then every day afterwards. Finally, we decided to do it." In 2014, he said: "I find it bizarre that I'm still linked with someone I was involved with literally 20 years ago. On 12 July 2018, Rothschild's 47th birthday, his ex-wife died aged 49 from a heart attack at her home in Chelsea, London. He did not attend her funeral, which took place at St Paul's Church, Knightsbridge on 27 July 2018.
The Irish-bred British-trained Thoroughbred racehorse, Nathaniel (foaled 24 April 2008), winner of the 2011 King George VI and Queen Elizabeth Stakes, was bred and owned by his mother, and is named after Rothschild.
Rothschild gained a Montenegrin passport on the request of the then Prime Minister of Montenegro, Igor Luksic. He held a three-day party in Montenegro in July 2011, to celebrate his 40th birthday. The party was rumoured to cost a million euros.
He was in a relationship with the model Eliza Cummings from December 2012 to October 2014. The former couple lived together.
He often travels by private jet. The Times reported in 2012 that he owned a £35 million superyacht. Rothschild's four-storey townhouse in New York City's West Village was put up for sale for US $17.5 million in April 2015.
He married his second wife, Loretta Basey, a former glamour model who previously appeared on Page 3 of The Sun tabloid newspaper, at a luxury Swiss ski resort in Klosters, Grisons, on 23 July 2016, having been engaged since December 2015. Basey is 19 years his junior. Their wedding party was held in Stowell Park, Wiltshire, a few weeks after their wedding. His father-in-law is Phillip Victor Basey (born 1956), a chartered accountant, who was one of the three-man team that created UKIP's 2015 general election manifesto and was named as the treasurer of the Brexit Party in 2019. The couple have settled in Switzerland, with their dogs, and divide their time between London, Los Angeles, Florence, Paris, Moscow, New York City, and Greece. In June 2025, it was reported that the couple have a son.