Her relationship with Zhang Yimou was both professional and romantic and they created a scandal for being lovers during their long collaboration, despite Zhang having been married at the time. The couple eventually broke up in 1995. In 1996, rumors began circulating that Gong had married Singaporean tobacco tycoon Ooi Hoe Soeng, allegations she denied until a Singapore tabloid printed a copy of the marriage certificate. They eventually had a wedding reception that November at Hong Kong's China Club. She has a reputation for being elusive and is very private about her personal life. As of 2007, she is said to be able to speak fluent conversational English.
Gong created a major stir at Peking University in 2000 when the university accepted her to take an undergraduate degree course in social studies. Students of the institution felt her celebrity status allowed her to "jump the queue" when other prospective students are held to much more competitive standards. In her defence, Gong said she simply wanted to "pursue the spirit of learning".