In 1878, he married Alice Nickelsen.
Wallenberg was Minister for Foreign Affairs 1914–1917, and member of the Riksdag's first chamber (the Upper house) 1907–1919.
Together with his wife, he created Knut and Alice Wallenberg Foundation (Swedish: Knut och Alice Wallenbergs Stiftelse), which is one of the main contributors to the private university Stockholm School of Economics.
Wallenberg was one of the founders of the Stockholm School of Economics, and is also seen as the founder of the community of Saltsjöbaden and an associated railroad.