Hagen is educated at Kjøpmannsinsituttet (now part of the BI Norwegian Business School). He founded the RIMI discount store chain along with his Father in the 1970s, and retained ownership until the 2000s, when he sold to Swedish ICA and Ahold. Most of the money was ploughed into Orkla. Hagen reportedly owns one of the biggest sailboats in Europe and used to own his own island in the Caribbean.
Stein Erik Hagen has three children from his first marriage, and a son from a later relationship. In 2004 he married Mille-Marie Treschow, the couple announced in 2012 that they were separating.
In October 2015, Hagen came out on the Norwegian-Swedish talk show Skavlan. Later the same day he added that he was bisexual, and that his ex-wives and family have known about his sexuality for many years.