- Moved to Berlin, Germany in her early 20s and still lives there with her partner and her two children. [2022].
- Was in a relationship with Jonas Laux. They have two children: a daughter, Elisa (born in 2011), and a son, Jan-Noah (born in 2015).
- Her father Bob Krieps worked as a Director General of the Luxembourg Ministry of Culture. He was also the president of the Luxembourg Film Fund and managed a film distribution company. Several of her films were funded by the Luxembourg Film Fund (even when they weren't filmed in the country), which is supervised by the Ministry of Culture, who then decides which films will be funded with taxpayers' money.
- Called herself "the biggest star of her country" [Luxembourg] in an interview for The Hollywood Reporter in September 2021.
- Stated in interviews that she lit a candle everyday at church to not be nominated for an Oscar for Phantom Thread (2017). She said she felt it [an Oscar nomination] was sort of a poison. However, less than a year after saying this, she had no problem in campaigning for the Oscar for her film Corsage (2022), even hiring the same American PR team of several Oscar winners and nominees.
- In an interview for French magazine Premiere in December 2018, Krieps said she cried everyday at home for having to take care of her first child (a daughter), because if it wasn't for that baby, she could be travelling to New York or London instead. She gave birth to a second child (a son) a few years after being frustrated for having to raise the first one.
- In a relationship with German actor Samuel Schneider since 2017. They live together in Berlin.
- Was invited to join the actor's branch of the Academy of Motion Picture Arts & Sciences in 2023.
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