In 2002, Tse received the World's Best Chinese Artist award at the 2002 World Music Award for the success of his Jade Butterfly album.
Tse began a relationship with musician Faye Wong, 11 years his senior, in the late 1990s. They broke up in 2002. On 31 July 2006, Tse officially admitted that he was dating actress Cecilia Cheung in an interview with Hong Kong commercial radio station 881/903. On 29 September 2006, Tse showed off his wedding ring at the Hong Kong International Airport, announcing that he and Cecilia Cheung married in a secret wedding ceremony in Pamalican, Philippines. The couple's eldest son, Lucas Tse, was born on 2 August 2007. Cheung gave birth to their second son, Quintus Tse, 12 May 2010. However, their romantic relationship ended on June 14, 2011 when Tse reportedly filed for divorce from Cheung. In 2014, it was reported that Tse rekindled his relationship with Faye Wong, who had divorced her second spouse in 2013. As of 2020, Tse and Faye Wong continue to live together, though they had not married.
Tse has had his share of brush-ups with "paparazzi". A photographer of Sudden Weekly magazine accused Tse of hitting him outside a restaurant in Taiwan, bruising his nose and elbow. Although Tse denied the assault charge, there was a settlement in July 2002.