Cleveland entered the White House as a bachelor. His sister, Rose Cleveland, moved into the White House and acted as hostess for the first two years of his administration. In 1885 the daughter of Cleveland's friend Oscar Folsom visited him in Washington. Frances Folsom was a student at Wells College; when she returned to school, President Cleveland received her mother's permission to correspond with her. They were soon engaged to be married.

On June 2, 1886, Cleveland married Frances Folsom in the Blue Room at the White House. He was the second president to marry while in office, and the only president to have a wedding in the White House. This marriage was unusual because Cleveland was the executor of Oscar Folsom's estate and had supervised Frances' upbringing after her father's death, but the public did not take exception to the match. At twenty-one years old, Frances Folsom Cleveland remains the youngest First Lady, and the public soon warmed to her beauty and warm personality. The Clevelands had five children: Ruth (1891–1904);Esther (1893–1980); Marion (1895–1977); Richard Folsom (1897–1974); and Francis Grover (1903–1995). British philosopherPhilippa Foot was their granddaughter.