Yulia likes to play tennis and she can play piano and guitar. She is also a classically trained musician.
In May 2004, Volkova announced that she was pregnant with long-time boyfriend Pavel (Pasha) Sidorov's child. She gave birth to her first child, Viktoria, on September 23, 2004. Volkova split up with Sidorov in spring 2005, but didn't stay single for long - while recording a new album for t.A.T.u., she started dating Tigran - a Russian-American businessman.