Women dated: Shelly Winters (1954-55), Lana Turner (1958), Joanne Gilbert (1958), Diane Cliento (1958-73), Brigitte Bardot (1968), Jill St. John (1971), Micheline Roquebrune (1975-present), Lynsey de Paul (1989), Sule Lloyd, Gina Rowlands, Carole Mallory, Betty Kelly, Julie Hamilton, Maxine Daniels, Claudine Auger, Raquel Welch, Ursula Andress, Lana Wood, Magda Konopka
Discussions of Sean Connery's love life, unfortunately, focus less on his swordsmanship than his pugilism. There's a very unpleasant story (which you can read about here) about Connery slugging his wife, Diane Cliento, in a jealous rage while the two were staying in Spain where Connery was filming The Hill (1964).
Connery has always denied the story, but he hasn't helped that denial by making statements on occasion that implied he thinks that sometimes it's OK to hit a woman. The perhaps justified criticism Connery has received has left him wary of discussing relationships. He may be the consensus best Bond ever, but don't hold your breath for an autobiography (or even an interview) that will tell all the racy tales of his swashbuckling heyday.