William Cavendish was born at Handsworth Manor, Yorkshire, eldest surviving son of Sir Charles Cavendish and Catherine Ogle. He was a grandson of Bess of Hardwick, and courtier William Cavendish. He had a younger brother Charles (1594–1654), and the two remained close friends throughout their lives.

In 1618, Cavendish married Elizabeth Howard (1599–1643), with whom he had five children; Jane (1621–1669), Charles (1626–1659), Elizabeth (1626–1663), Henry, 2nd Duke of Newcastle (1630–1691), and Frances. Encouraged by their father, Jane and Elizabeth became minor poets and writers. In 1645, he married Margaret Lucas, a natural philosopher writer. With his help and support, she became a popular writer of plays, poetry, and fiction, and was known as "mad Madge" for her extravagant style and affected manner.