She married three times; her first marriage, notably, was to Paul Laurence Dunbar. She met Dunbar first through correspondence, and later moved to Washington, DC, where she married him. While their marriage remained intact, they frequently worked together and collaborated; Dunbar Nelson also supported her more famous husband as a typist as well as a business manager. In 1899, Dunbar Nelson published a collection of short stories called The Goodness of St. Roque and Other Stories that was generally well-received. (For this collection, she used the name "Alice Moore Dunbar")
Later, she and Dunbar moved to Ohio, where their marriage took a poor turn as Dunbar struggled with alcoholism and tuberculosis (some reports suggest that his doctors actually prescribed alcohol to help alleviate the symptoms of TB!). Dunbar is thought to have been physically abusive, leading Alice to separate from him in 1902. After separating from Dunbar, Nelson moved to Wilmington, Delaware, where she taught at Howard High School. She also continued to be active as a civil rights activist, journalist, and editor throughout the 1910s and 20s. She married Robert J. Nelson in 1916, and later in life claimed the name "Alice Dunbar Nelson," though she also publisher under variations of her various names at various points in her career.
In addition to her more publicly known activities, after her death, Alice Dunbar-Nelson's letters and diaries revealed she had had close, often erotic relationships with women.