Christensen lived with INXS frontman Michael Hutchence and has been romantically linked to Leonardo DiCaprio. She has one child, a son named Mingus Lucien Reedus (born October 13, 1999) with actor Norman Reedus. Reedus and Christensen split in 2003. From 2004 to 2006, Christensen dated Danish rock band Grand Avenue frontman Rasmus Walter-Hansen. Christensen is currently dating Interpol frontman Paul Banks.

Christensen was a good friend of actor Heath Ledger, and was actually reported to have been heading to his apartment on the day that he died. Christensen apparently tried calling Ledger, only to get his voicemail message on the answering phone.

Helena has claimed on several occasions to be a cheese addict, admitting that: "There've been times when I've bought a whole pound of cheese and walked down the street and eaten it in one go... I think it's incredibly sensual." Christensen declares that: "Whenever my head is like a maze, I turn to the easy things in life, the things that mean the most to me: Sex and cheese. These things are connected. Truth be told, I love all cheese: French cheese, Italian cheese, even British cheese, but Danish cheese is the greatest. I get my best nightmares after I eat Danish cheese. Actually I've seriously thought about getting a cheese tattoo. A nice Edam on my shoulder, maybe."

She drives a Morris Minor car at home in Monaco, and also has apartments in Copenhagen and Manhattan. Christensen is left-handed and a fan of The Smiths and R.E.M.. She is also close friends with the latter band's lead singer Michael Stipe and with U2 frontman Bono.

• The Red Dress Collection 2007 Fashion Show (2008) (V) .... Herself
• Happy Birthday Elton! From Madison Square Garden, New York (2007) (TV) .... Herself
• "Corazón de..." .... Herself (1 episode, 2006)
       - Episode dated 9 October 2006 (2006) TV episode .... Herself
• "Go' aften Danmark" .... Herself (1 episode, 2005)
       - Episode dated 29 September 2005 (2005) TV episode .... Herself
• Once Upon a Time... (2005) (TV) .... Herself
  ... aka H.C. Andersen Show: Once Upon a Time (International: English title: promotional title)
• "Iconoclasts" .... Herself (1 episode, 2005)
       - Mario Batali on Michael Stipe (2005) TV episode .... Herself
• "Bullrun: Cops, Cars & Superstars" (2004) TV series .... Herself
• The Importance of Being Famous (2003) (TV) .... Herself
• "V Graham Norton" .... Herself (1 episode, 2003)
       - Episode #4.30 (2003) TV episode .... Herself
• Pride of Britain Awards 2003 (2003) (TV)
• Danish Music Awards 2003 (2003) (TV) .... Herself - Presenter
  ... aka DMA 2003 (Denmark: promotional abbreviation)
• Det kan aldrig blive for meget (2002) (TV) .... Herself
  ... aka DR-Dokumentar: Det kan aldrig blive for meget (Denmark: series title)
• Stjerner i manegen (2001) (TV) .... Herself