Personal life
On 1 November 1904 at St Peter's Church, Eaton Square, London, he married Alice Frances Denison Des Vœux daughter of Sir William Des Vœux, former governor of Hong Kong, and Marion Denison (née Pender). Before their divorce in 1925, they were the parents of two children, a son and a daughter:
Alexander William Henry James Montgomery-Cuninghame (1905–1944), a Lieutenant Colonel in the Royal Scots Fusiliers, and also a DSO recipient, died in World War II in France; he married Barbara Susanne Gray-Cheape, daughter of Col. Hugh Annesley Gray-Cheape and Carsina Gordon Gray, in 1934.
Pamela Richenda Cubitt Montgomery-Cuninghame (1910–1978), who became a noted florist and ran a plant nursery; she married Thomas Abdy Combe, a son of John Abdy Combe, in 1932. They divorced in 1941 and she married Desmond FitzGerald Underwood, a son of Charles Frederick Weston Underwood, in 1942.
They divorced in 1925 and his former wife remarried Sir Aubrey Symonds. Sir Thomas then married Nancy Macaulay Foggo of British Columbia on 24 November 1925 in London, daughter of William Stewart Foggo and Flora Alexandra née Macaulay, with whom he had two more sons.
Sir William Andrew Malcolm Martin Oliphant Montgomery-Cuninghame, 11th Baronet (1929–1959), who married Sara Carolyn Gordon-Lennox, daughter of Brig.-Gen. Lord Esmé Gordon-Lennox (second son of the 7th Duke of Richmond) and Rosamond Lorys Palmer, in 1956.
Sir John Christopher Foggo Montgomery Cuninghame, 12th Baronet (b. 1935), who married Laura Nicholson, the second daughter of Sir Godfrey Nicholson, 1st Baronet, MP for Morpeth and Farnham, and the former Lady Katharine Lindsay (a daughter of the 27th Earl of Crawford), in 1964.
Montgomery-Cuninghame died 5 January 1945 in Willards Hill, Etchingham, Sussex, and the funeral service took place at St. Mary's Church, Salehurst, East Sussex. He is commemorated on a window in Kirkmichael Parish Church, Ayrshire. As he was predeceased by his eldest son, he was succeeded in the baronetcy by his second son, William. After his death in 1959 without issue, the baronetcy passed to his youngest son, John.