Anderson is friends with her fellow co-star on The X-Files, David Duchovny.

On New Year's Day 1994, Anderson married Clyde Klotz, The X-Files series assistant art director, on the 17th hole of a golf course in Hawaii as part of a Buddhist ceremony. A few months later came the news that she was pregnant. The X-Files creator, Chris Carter, created an alien abduction storyline that kept Anderson off-camera long enough for labor, delivery and a 10-day maternity leave. Daughter Piper Maru (for whom The X-Files episode, "Piper Maru," was named) was born by caesarean section on September 25, 1994, in Vancouver, Canada. Carter was named her godfather.

Anderson and Klotz divorced in 1997.

In 1996, Anderson was voted the "Sexiest Woman in the World" for FHM's 100 Sexiest Women poll.

The X-Files finished its ninth and final season in May 2002, marking the end of a major period in Anderson's life - she started the show when she was 24 and finished it when she was 34. Anderson's marriage also ended, and she later moved to London. From November 2002 through February 9, 2003, she starred in the Michael Weller play, What the Night is For, in London's West End.

In December 2004, Anderson married Julian Ozanne, a documentary filmmaker, in the village of Shella on Lamu, an island off the coast of Kenya. Anderson and Ozanne announced their separation on April 21, 2006, after 16 months of marriage. On November 1, 2006, Anderson and boyfriend Mark Griffiths welcomed a son named Oscar. As of June 2008, Gillian and Mark are expecting their second child together.

Anderson provides philanthropic and charitable assistance in the support of finding a cure for neurofibromatosis. She serves as NF, Inc.'s Honorary Spokesperson and is a Patron of the Neurofibromatosis Association (based in the UK). Her support stems from her brother being diagnosed with NF-1. She is also a member of the board of directors for Artists for a New South Africa and a campaigner for Action for Southern Africa. Furthermore, Anderson is a vegan and active member of PETA, supporting animal rights.

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