Bayly married firstly Caroline Paget, daughter of Brigadier General Thomas Paget, Governor of Minorca (died 1741) and Mary Whitcombe, in 1737. They had several children, including Paget Bayly, a Captain in the Royal Navy, and Nicholas Bayly, also Member of Parliament for Anglesey. After his first wife's death on 7 February 1766, he married secondly Anne (née Hunter). There were no children from this marriage. Bayly died in December 1782 and was succeeded in the baronetcy by his eldest son from his first marriage, Henry, who had already succeeded as 10th Baron Paget through his mother in 1769 and was later created Earl of Uxbridge. He was the father of Henry Paget, 1st Marquess of Anglesey, hero of the Battle of Waterloo. Lady Bayly died in May 1818.