Yes, we have a proof that Yajnavalkya was married and taken Sanyasa:
Quoting from Brihadaranyaka Upanishad:
IV-v-1: Now Yajnavalkya had two wives, Maitreyi and Katyayani. Of these Maitreyi used to discuss Brahman, (while) Katyayani had then only an essentially feminine outlook. One day Yajnavalkya, with a view to embracing life -
IV-v-2: 'O Maitreyi, my dear', said Yajnavalkya, 'I am going to renounce this life for monasticism. Allow me to finish between you and Katyayani'.
Then Maitreyi asked several questions regarding how can one approach ultimate immortality and Yajnavalkya preached her very descriptively. You can read full discussion in next verse or can refer 4th Brahmana of 2nd Adhyaya of same Upanishad where elaborative discussion is found.
image source: baps kids story
Quoting couple of verses comprising interesting preaching:
IV-v-6: He said: 'It is not for the sake of the husband, my dear, that he is loved, but for one's own sake that he is loved. It is not for the sake of the wife, my dear, that she is loved, but for one's own sake that she is loved. It is not for the sake of the sons, my dear, that they are loved, but for one's own sake that they are loved. It is not for the sake of wealth, my dear, that it is loved, but for one's own sake that it is loved. It is not for the sake of the Brahmana, my dear, that he is loved, but for one's own sake that he is loved. It is not for the sake of the Kshatriya, my dear, that he is loved, but for one's own sake that he is loved. It is not for the sake of worlds, my dear, that they are loved, but for one's own sake that they are loved. It is not for the sake of the gods, my dear, that they are loved, but for one's own sake that they are loved. It is not for the sake of beings, my dear, that they are loved, but for one's own sake that they are loved. It is not for the sake of all, my dear, that all is loved, but for one's own sake that it is loved. The Self, my dear Maitreyi, should be realised - should be heard of, reflected on and meditated upon. When the Self, my dear, is realised by being heard of, reflected on and meditated upon, all this is known
IV-v-15: Because when there is duality, as it were, then one sees something, one smells something, one tastes something, one speaks something, one hears something, one thinks something, one touches something, one knows something. (But) when to the knower of Brahman everything has become the Self, then what should one see and through what, what should one smell and through what, what should one taste and through what, what should one speak and through what, what should one hear and through what, what should one think and through what, what should one touch and through what, what should one know and through what? Through what should one know that owing to which all this is known? This self is That which has been described as 'Not this, Not this'. It is imperceptible, for It is never perceived; undecaying, for It never decays; unattached, for It is never attached; unfettered - it never feels pain, and never suffers injury. Through what, O Maitreyi, should one know the Knower? So you have got the instruction, Maitreyi. This much indeed is (the means of) immortality, my dear. Saying this Yajnavalkya left.
And finally after preaching Maitreyi, Yajnavalkya took Sannyasa.