On October 18, 1893, Allan married Marguerite Ethel Mackenzie (1873–1957), daughter of Hector MacKenzie (1843–1901) of Montreal and his wife Martha Alger, granddaughter of
Cyrus Alger and
Holmes Hinkley, both of
Boston. Lady Allan's father was President of J.G. Mackenzie & Co. of Montreal, a director of the
Hudson's Bay Company, vice-president of the Merchants Bank, vice-president of the
Montreal Telegraph Company and President of the Montreal
Philharmonic Society. Lady Allan was a niece of The Hon.
Frederick Mackenzie and sister-in-law of Edward Ermatinger, of Montreal. The Allans were the parents of four children, all of whom they outlived: •
(Marguerite) Martha Allan (1894–1942), died unmarried. • Lt. Hugh Allan (1897-6 July 1917). Educated at
Eton (where he was a prefect and elected a member of 'Pop') and
McGill University. In 1915, he joined
The Black Watch (Royal Highland Regiment) of Canada before transferring and becoming a flight sub-lieutenant with the
Royal Naval Air Service. He was shot down on his first service flight over the
English Channel, during
World War I. He was unmarried. • Anna Marjory Allan (18 November 1898 – 7 May 1915), killed on the . • Gwendolyn Evelyn Allan (20 April 1900 – 7 May 1915), killed on the RMS
Lusitania. In May 1915, during
World War I, Lady Allan, along with daughters Anna, 16, and Gwen, 15, were aboard the when it was sunk by German
U-boat . After she and her daughters jumped into the water, Lady Allan was severely injured. While she was rescued, both daughters drowned. Anna's body was never found, but Gwendolyn's was recovered the next day and returned to Montreal for burial.
Rita Jolivet, the future wife of Sir Montagu's Scottish cousin, Jimmy Allan, was also a passenger on the
Lusitania. Two years after this tragedy, the war claimed a third child, Hugh, who was killed in action, shot down over the English Channel in July 1917 while serving with the Royal Naval Air Service. File:Lady Montague Allan's children at Cacouna, 1901.jpg|The Allan children at Cacouna, 1901 File:Lady Marguerite Allan and her two eldest daughters, Montreal, 1906.jpg|Lady Allan with her two youngest daughters, 1906 File:Sir Monatgue and Lady Allan, 1940.jpg|Sir Montagu and Lady Allan at the Guy Street theatre, Montreal, 1940 ==Residences==