There's no mention, as you stated, in the TV shows of him being married.
Sir Arthur Conan Doyle never mentioned Mycroft being married in his novels (he's only mentioned about 4 times as I recall) but given his nature it seems unlikely.
Mycroft appears or is mentioned in four stories by Doyle: "The Greek Interpreter", "The Final Problem", "The Empty House" and "The Bruce-Partington Plans".
What we do know of him, from the novels, and by reading between the lines, would seem to confirm his bachelorhood.
He's a founder of the Diogenes Club which Sherlock describes:
There are many men in London, you know, who, some from shyness, some from misanthropy, have no wish for the company of their fellows. Yet they are not averse to comfortable chairs and the latest periodicals. It is for the convenience of these that the Diogenes Club was started, and it now contains the most unsociable and unclubable men in town. No member is permitted to take the least notice of any other one. Save in the Stranger’s Room, no talking is, under any circumstances, allowed, and three offences, if brought to the notice of the committee, render the talker liable to expulsion. My brother was one of the founders, and I have myself found it a very soothing atmosphere.
The Greek Interpreter - Sir Arthur Conan Doyle
This tends to lead us to towards him preferring an more solitary social existence.
Mycroft also has "lodgings" in Pall Mall rather than a "home" which would also indicate a solitary existence and then there's his habits..
It is as if you met a tram-car coming down a country lane. Mycroft has his rails and he runs on them. His Pall Mall lodgings, the Diogenes Club, Whitehall—that is his cycle.
The Bruce-Partington Plans - Sir Arthur Conan Doyle
There doesn't seem to be any room for a married or even a social life in that 'cycle'.
Overall, even though it's not explicitly stated, a bachelor would seem to be the most logical interpretation of the 'evidence'.