- Yelena and The Smashing Pumpkins's frontman Billy Corgan were romantically and artistically linked from 1995 to 2004. She directed or co-directed the videos for "Zero" and "Thirty-Three" by the Smashing Pumpkins and she handled art direction for the album Adore and its related singles. She also appeared in the video for the song "Stand Inside Your Love".
- Two daughters with Ebon Moss-Bachrach: Sasha (b. 2007) and Mirabelle (b. 2009).
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