Shah Rukh is born to Pathan ethnicity. Shah Rukh's father came to Gurgaon from Kissa Kahani Bazaar in Peshawar before the Partition of India, while his mother's family came from Rawalpindi, which is also in present-day Pakistan. Shah Rukh has a sister named Shehnaz, who is lovingly known as Lalarukh. He attended St Columba's School where he was excelled in sports, drama and academics. He won the Sword of Honour, an annual award bequeathed to the student who embodies the spirit of the school. He later attended the Hansraj College (1985-1988) to earn an Honors degree in Economics. After this, he studied for a Masters Degree in Mass Communications at Jamia Millia Islamia University.

After the death of his parents, Shah Rukh moved from Gurgaon to Mumbai in 1991. He then married Gauri Khan in a Hindu wedding ceremony. They has two children, son Aryan (born in 1997) and daughter Suhana (born in 2000).

Shah Rukh's life-size wax statue is kept in the famous Madame Tussauds wax museum, London. It was made public on April 2007. Shah Rukh has been chosen for the Ordre des Arts et des Lettres (Order of the Arts and Literature) award of the French government for his "exceptional career".