Bodrov was born in Khabarovsk, Russian SFSR, USSR (now Russia). In the post-Soviet period he emigrated to the United States. His son, actor Sergei Bodrov, Jr. was killed in an avalanche in the mountains of the North Caucasus on September 20, 2002 while shooting his film which was tentatively titled The Messenger.
Bodrov's grandmother was ethnic Buryat which influenced his decision to film the movie Mongol.
Bodrov currently has an apartment in Los Angeles and a ranch in Arizona. He is married to American film consultant Carolyn Cavallaro.