[1] His father, Knud Erhard Hillingsø Larsen (1905-1978) was Danish, and his mother Hildegard Dorthea Louise (née Bugge; died 1997), was born in Kiel, Germany.

On 9 February 2000, Hillingsø was awarded the Estonian Order of the Cross of the Eagle, Third Class, by then-Estonian President Lennart Meri.

Hillingsø's daughter Ellen is an actress, perhaps best known internationally for her roles in the television series The Bridge and Rita.

Hillingsø's son, Jens, is the head of the Department of Paediatric Surgery at the Rigshospitalet in Copenhagen and former chairman of Médecins sans Frontières.

Hillingsø and his wife have been long-time friends of the Queen of Denmark, Margrethe II, and her late husband, Prince Henrik.