Joseph Lau was born on 21 July 1951 in Hong Kong. He has a younger brother Thomas and two younger sisters.
Lau married Bo Wing-kam (1954–2003) in 1977 and they were divorced in 1992. They had two children: a son, Lau Ming-wai (born 1980) and daughter Jade Lau Sau-yung (born 1983). In 2008, Lau Ming-wai's wife gave birth to mix twins, they are Lau's eldest grandchildren. Lau Ming-wai, a British citizen, is vice-chairman of Chinese Estates Group and is both chairman of the government's Commission on Youth and on the steering committee of the HK$10 billion Community Care Fund, established in 2010. He was formerly a member of the Commission on Poverty. In 2011, he was part of Henry Tang's election team for the 2012 chief executive election.
According to the Sunday Times, Lau owns a collection of 10,000 bottles of red wine, and is an avid art collector. On 7 November 2007, he made the top purchase of the evening at a Sotheby's auction by paying $39.2 million for Paul Gauguin's Te Poipoi, a painting of a Tahitian scene.
In 2009, Lau bought a 7.03 carat blue Diamond for his daughter Josephine, that he named the "Star of Josephine" at Sotheby's for $9.5 million.
On 31 May 2012, the Macau Court of Final Appeal confirmed that Lau and Steven Lo were involved in the case of offering Macau's former public works chief Ao Man-long HK$20 million over the bid for five plots of land opposite Macau International Airport. Lau and Lo were charged with bribery and money laundering. They both denied the charges and Lo earlier told the court that the HK$20 million was a preliminary payment to construction company San Meng Fai.
Lau had two children with former assistant Kimbie Chan (aka Chan Hoi-wan) – a daughter, Josephine (born 2008) and a son (born 2012). In 2008, Lau became the grandfather of twins. Lau junior acceded to the chairmanship of Chinese Estates following his father's conviction in the court of Macau on bribery charges in 2014; Sue Chan, the elder sister of Lau's girlfriend Kimbie, became the chief executive of the company Lau founded.
In November 2014, Lau bought a 9.75 carat blue Diamond for his daughter Zoe, at Sotheby's for $32.6 million, that he named "Zoe Diamond". He also bought her a Cartier brooch featuring a 10.1 carat ruby, that he named "Zoe Red" at Christie's for $8.4 million.
In November 2015, Lau bought another two expensive diamonds. On 10 November, he bought a 16.08 carat pink Diamond at Christie's for $28.5 million. The next day, Lau bought a 12.03 carat blue Diamond at Sotheby's for $48.4 million, setting new records for the most expensive jewel sold at auction and the most expensive Diamond ever. He subsequently renamed them the "Sweet Josephine" and the "Blue Moon of Josephine" respectively.