Both sentences are grammatically correct, but the focus is slightly different:
1. I watch TV in the bedroom with my family.
* This emphasizes that the location (the bedroom) is important first, and you're watching TV there with your family.
2. I watch TV with my family in the bedroom.
* This focuses more on the fact that you're watching TV with your family, and then adds that it's happening in the bedroom.
Both are fine; the choice depends on what you want to emphasize!