Dunn was a close friend and lover of Sonja Henie, who was training in London towards the end of her competitive career. Following Henie's victory at the 1936 Winter Olympics, where Dunn placed sixth in the singles event, he accompanied the Henie family to the United States and became her professional skating partner in her touring ice show for the next two years. Their relationship ended when Henie became involved with Tyrone Power. Shortly afterward, in 1938, Dunn died from tularemia contracted from handling a rabbit while on a hunting trip in Texas. He died in Hollywood.
^"MR. JACK DUNN". The Manchester Guardian. 18 July 1938. p. 5.
^"HIGHLIGHTING THE WEEK'S NEWS". The New York Times. 19 June 1938. p. 3.
^"SCREEN NEWS HERE AND IN HOLLYWOOD: ' Life of Rudolph Valentino,' Starring Jack Dunn, to Be Made by United Artists TWO FILMS OPEN TODAY Orlob, Producer, Buys Motion-Picture Rights to '- – - – One-third of a Nation – - – -' Of Local Origin". The New York Times. 15 June 1938. p. 27.