In 1994, he was found to have had an affair with his children's 19-year-old Irish nanny, Maresa Morgan, who was assisting the family while de Burgh's wife Diane was recuperating in the hospital from a broken neck during a horse-riding accident. His daughter Rosanna indicated during an interview with The Irish Independent that she held little sympathy for Morgan, regarding the latter's portrayal of herself as a victim as "pathetic" and hoped "she pays for her mistake". She forgave her father for his affair.
In 2011, bottles from DeBurgh's vintage wine cellar sold for over $500,000, including a world record set for a magnum collection of postwar vintages.
DeBurgh has a noted interest in war history, especially that of World War I and World War II. His songs contain numerous references to soldiers and battle, and in 2006 he purchased a rare First World War letter written by an unknown soldier.
De Burgh has said that he is "certainly a believer in Christ" but he has always had a deep distrust of organized religion. De Burgh believes in the power of spiritual healing as an alternative therapy to reduce pain. He states that he has been able to heal people with his own hands and he gained an all-encompassing strength that was contacted through prayer.