Keillor was born in Anoka, Minnesota, the son of Grace Ruth (née Denham) and John Philip Keillor, who was a carpenter and postal worker. He was raised in a family belonging to the Plymouth Brethren, a fundamentalist Christian denomination he has since left. He is six feet, three inches (1.9 m) tall and is of part Scottish ancestry. Keillor is a member of the Democratic-Farmer-Labor Party. He is currently an Episcopalian, but has been a Lutheran. His religious roots are frequently worked into his material: he often remarks that most Minnesotans, being of Scandinavian descent, are Lutherans. He graduated from the University of Minnesota with a bachelor's degree in English in 1966. While there, he began his broadcasting career on the student-operated radio station known today as Radio K.
Keillor has been married three times:
* To Mary Guntzel, from 1965 to 1976. The couple has one son, Jason, born in 1969.
* To Ulla Skaerved (a former exchange student from Denmark at Keillor's high school whom he famously reencountered at a class reunion), from 1985 to 1990.
* To violinist Jenny Lind Nilsson (b. 1958), who is from his hometown of Anoka, since 1995. They have one daughter, Maia, born in 1997.
Between his first two marriages he was also romantically involved with Margaret Moos, who worked as a producer of A Prairie Home Companion.
The Keillors maintain homes on the Upper West Side of New York City and in Saint Paul, Minnesota.
His brother, the historian Steven Keillor, is also an author.
On Feb. 3, 2008, Keillor endorsed Barack Obama in the 2008 Democratic Primary. In a letter to the Obama campaign, Keillor stated "I'm happy to support your candidacy, which is so full of promise for our country."