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Coxe was the son of the US Circuit Court of Appeals Justice (2nd Circuit) Alfred Conkling Coxe, Sr., great grandson of Alfred Conkling, who served as a U.S. Representative from upstate New York and a judge in the Northern District, and grand nephew of Roscoe Conkling, who was a Congressman and Senator from New York and boss of the state's Republican political machine.
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He was also the great grandson of abolitionist minister Samuel Hanson Cox.
Another son, Howard Coxe, was a newspaperman and novelist, and his grandson Louis O. Coxe was a poet and playwright best known for writing the Broadway version of Billy Budd.
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He was also the nephew of Arthur Cleveland Coxe, the Episcopal bishop of Western New York, and grandson of abolitionist minister Samuel Hanson Cox.