Ajay was born in Delhi to Veena and Veeru Devgan. Originally from Mumbai, India, members of the The Mukherjee-Samarth Devgan family are all related to the Hindi film industry in Mumbai. His father, Veeru Devgan, is a well-known stunt choreographer and his mother Veena Devgan, a film producer. Ajay's brother, Anil Devgan, is a Hindi film director. Ajay Devgan is an alumnus of the Silver Beach High School in Juhu and Mithibai College.
Devgn began dating fellow actor, Kajol in 1994, while filming for Gundaraj. Members of the media, labeled them an "unlikely pair" due to their contrasting personalities. Devgn explained their relationship by saying, "We never resorted to the usual 'I Love you' routine. A proposal never happened. We grew with each other. Marriage was never discussed, but it was always imminent".
On 24 February 1999, they were married in a traditional Maharashtrian style ceremony at the Devgn house. The couple has two children. Their daughter Nysa was born on 20 April 2003 and their son Yug was born on 13 September 2010. Ajay Devgn and Kajol chose to store their newborn son's umbilical cord blood and tissues, which act as a stemcell source and help protect the child from several serious ailments. In August 2009, Devgn's surname was changed to its current spelling from its more well-known "Devgan", at the request of his family. He became the first Bollywood personality to acquire a private jet for transport to shooting locations, promotions and personal trips. He is the first Indian to own a Maserati Quattroporte