Marathoner Kim Hye-song is her sister. They are fraternal twins. Hye-gyong is the younger. Their mutual coach, Jong Myong-chol, describes their healthy rivalry in races and friendship as the key to their success. According to Jong, Hye-gyong has a livelier personality of the twins and trains harder. Together they train five times a week, running 25–30 km a day.

The sisters Kim, along with Kim Mi-gyong (no relation) are considered the most prominent of North Korean female marathoners today. Kim Hye-gyong represents the Pyongyang Sports Team. She has a brother, a marathoner representing the April 25 Sports Team.

Kim is from Sariwon, North Hwanghae Province. Already physically active in kindergarten, she and her sister started running in middle-school at the age of 14. They were proven good runners and Kim won many competitions. Kim's ability to maintain high speed and good composure in particular made her stand out. The sisters' father was a marathon coach at that time. Kim trained at Kumchon County Juvenile Sports School. The sisters then moved to the capital Pyongyang. Kim subsequently won events such as 5,000 m, 10,000 m and 30 km in domestic tournaments like the 2009 Jonsung Cup and the 2011 national championships.

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