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On May 18, 1908, while the Great White Fleet rested in San Francisco, California, he married Lily Hazard McCalla (1878–1965), the daughter of Rear Admiral Bowman H. McCalla. Lily's brother-in-law, Arthur MacArthur III, was Dudley's classmate at the Naval Academy. They had one son, Dudley Sargent Knox, (1909-1968).