He married Lady Frances Wemyss (1722–1789), younger sister of David Wemyss, Lord Elcho, who played a prominent role in the 1745 Rising. Their son, Sir James Steuart Denham (1744-1839), edited his father's works, was a Member of Parliament, and Colonel of the Scots Greys. He ended his career as a General and lived to be ninety-five; on his death, both baronetcies went to a cousin who died in 1851, since when they have been dormant.