He was the son of Edward Delaval (related to the Delaval baronets) and his wife Mary, daughter of Sir Francis Blake of Cogges (related to the Blake baronets).

Together, they had eleven children, including:[3] On 9 December 1752, Captain Delaval fell down the steps of the South Portico of Seaton Delaval Hall, and died of his injuries.

[10] His uncle, George Delaval, from whom he inherited the Hall, also died from a fall on the estate; he fell from his horse.

[11] Through his son Edward, he was a grandfather of Sarah Hussey (née Delaval) Gunman, who inherited Doddington Hall.

[13] Through his daughter Sarah, he was a grandfather of John Savile, 2nd Earl of Mexborough.