Rhode married on 18 October 1903 in St. Andrew's Church in Copenhagen cand.mag. Asa Zøylner (1874-1960), daughter of businessman Johannes Henrik Emil Zøylner. (1838–1921) and Harriet Clausen (1842–1922). He was the father of the League of Nations official Gabriele Rohde and civil servant and director of the Royal Danish Theatre Henning Rhode.
