 He was also the nephew of Arthur Cleveland Coxe, the Episcopal bishop of Western New York, and grandson of abolitionist minister Samuel Hanson Cox.Coxe's son, Alfred Conkling Coxe Jr., also became a federal judge, serving on the United States District Court for the Southern District of New York from 1929 to 1957.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.