Tsang is a Hakka of Wuhua ancestry. His father, Tsang Kai-wing, was a former football coach and player, then served in the Royal Hong Kong Police Force from 1940 to 1972. He fled to Taiwan to escape from the Independent Commission Against Corruption in 1976 after being convicted of corruption and sentenced to three years in jail, while still free pending an appeal. In 2001, the Department of Justice seized his house in La Salle Road and later auctioned it for HK$4.35 million after 10 years of civil proceedings. Tsang Kai-wing died in Taiwan in 2011 with his son Eric and other family members around him.
Tsang is a cousin of former Secretary for Commerce and Economic Development Frederick Ma.
In his youth, Tsang was a Hong Kong professional soccer player.
