- Father of Chloe Frances Cockburn of Clan Cockburn, actress Olivia Wilde and Charles Philip Cockburn of Clan Cockburn.
- Son of writer Claud Cockburn and Patricia Cockburn. He was the step-son of singer Jean Ross upon whom the film Cabaret (1972) was based.
- Brother of Alexander Cockburn and Patrick Cockburn, both also Journalists, and mystery writer Sarah Caudwell.
- Father-in-law of Tao Ruspoli, in turn brother of Bartolomeo Ruspoli.
- Washington editor of "Harper's Magazine". (2021)
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