Pete was married to Lynne Corlett, a hairdresser, between 1980 and 2006. After he divorced Lynne, he got into a civil partnership with his boyfriend, Michael Simpson, in 2007.
Addressing the subject of his sexuality, he said that he was not gay, bi, trans, or any other term. He stated that he could not find suitable terminology for his sexuality, but he is comfortable being male and liked other sexes.