Born in New York City, New York, educated at Harvard and died in London, England, Simpson was briefly a captain in the Coldstream Guards during World War I. His father was British; his mother was American. Simpson renounced his U.S. citizenship as a young man and became a naturalized British citizen.
"In his younger years he was described as tall, with blue eyes, blond, curly hair, a neat blond moustache and a fastidious dresser," according to an article in The New York Times.
His first wife was Dorothea Parsons Dechert, the daughter of a justice of the Massachusetts Supreme Court. They were married in 1923 and divorced in 1928. They had one daughter, Audrey Simpson.
His second wife was Bessie Wallis Warfield (1896 - 1986), a former wife of Earl Winfield Spencer, Jr and the only child of Teackle Wallis Warfield and his wife, Alice Montague. They were married in London, England, on July 21, 1928 and divorced on May 3, 1937. As his obituary in The New York Times noted, the publicity over his second wife's remarriage to the Duke of Windsor and her subsequent fame thrust him into the role of "the forgotten man." The two remained friends, however, the newspaper noted, with the now Duchess of Windsor sending him flowers when he was in hospital for surgery and Simpson offering advice and clarification when his former wife was working on her memoirs.
His third wife was Mary Huntemuller Kirk (1896 - 1941), former wife of Jacques Achille Louis Raffray, a French-born New York insurance broker, and a daughter of Henry Child Kirk, owner and manager of the Kirk Silversmith Co of Baltimore, Maryland, and his wife, the former Edith Huntemuller. After embarking on an affair during his marriage to his second wife (who was then the mistress of the future Edward VIII of the United Kingdom), Simpson and Mrs. Raffray were married in the ballroom of the Brooklawn Country Club in Fairfield, Connecticut, on November 19, 1937, six months after his divorce from Wallis Simpson. They had one son, who was born on September 29, 1939, and christened at the Guards Chapel of Wellington Barracks in London. Mary Simpson died on October 2, 1941, at the couple's home in Wiltshire, England. Her life was examined in "The Other Mrs. Simpson," a biography written by her sister Anne Kirk Cooke (1901 - 2000) and her niece Elizabeth Rogers.
His fourth wife was Avril Joy Mullens (1910 - November 28, 1978), the former wife of Brigadier General Hugh Nugent Leveson-Gower, RA, a former wife of H.S.H. Prince George G. Imeretinsky, and the younger daughter of Sir John Ashley Mullens, of Manor House, Haslemere, Surrey, by his wife, Evelyne Maude Adamson. Simpson and Mrs. Leveson-Gower were married in London, England, on August 12, 1948. By this marriage he had one stepdaughter, Lucinda Gaye Leveson-Gower (born 1935, married Sir Spencer Le Marchant in 1955). Avril Simpson was killed in a car crash in Mexico.