The 72-year-old actor, who plays Chief Inspector Charles Dreyfus in the 'Pink Panther' film series, married the 41-year-old jewellery designer in a private villa on the Caribbean island of Mustique, reported Hello magazine.
"I knew from the first moment I met her that this could be something very serious. She is an extraordinary one-off. I never felt there was anything wrong with the institution of marriage - the only thing wrong was my ability to choose the right person," Cleese said.
"I couldn't imagine being with anyone other than Jenny now. And with my record, that's a pretty remarkable thing to say," he added.
The 'Monty Python' actor was also previously married to actress Barbara Trentham from 1981 to 1990 and his 'Fawlty Towers' co-star Connie Booth from 1968 to 1978 and Alyce Faye Eichelberger from 1992 to 2008.
The actor has two daughters, Cynthia Cleese, 41, from his marriage to Booth, and Camilla Cleese, 28, from his relationship with Trentham.