Mihajlović was married to Arianna Rapaccioni, an Italian former television presenter, with whom he had five children; three sons and two daughters. On 13 July 2019, Mihajlović publicly announced that he was diagnosed with an acute form of leukaemia, however still stayed on as manager of Bologna. He underwent a bone marrow transplant after three cycles of chemotherapy.In October 2021 he became a grandfather, after his daughter Virginia gave birth to a daughter. The father is Alessandro Vogliacco, who plays for Genoa.Mihajlović died on 16 December 2022 in a Rome clinic following complications of leukaemia. He was 53.