Grandfather Dharamveer Khanna was friends with Prithviraj Kapoor.
Sanjay Khanna's father Bansi Khanna served in Indian Air Force. After his retirement Bansi Khanna Produced films like 'Ek Nazar' starring Amitabh Bachchan, Jaya Bhaduri and 'Kala Sooraj' starring Shatrughan Sinha, Sulakshana Pandit, Rakesh Roshan.
Nephew of producer's Anil Khanna and Mohan Khanna.