They are indeed related to Belgium through the late Grand Duchess Josephine-Charlotte, who was born a Belgian princess.
Through J-C's mother, Queen Astrid, they are related to the Swedish, Norwegian, and Danish royal families [albeit very distantly]:
Prince Carl of Sweden-----Princess Ingebjorg of Denmark
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Princess Astrid of Sweden-----King Leopold of Belgium
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Princess Josephine-Charlotte of Belgium-----Grand Duke Jean of Luxembourg
They are related to the Norwegian royal family via Princess [later Queen] Astrid [Astrid's sister, Princess Martha, married King Olav of Norway and is the mother of the current Norwegian King Harald, so Josephine-Charlotte and Harald were first cousins].
Through Grand Duke Jean, they are related to the royal family of Bourbon de Parma, Portugal, Russia, Anhalt, Schwarzenburg, Bavaria, Thurn und Taxis, and Saxony [again, distantly]:
Grand Duke Guillaume IV of Luxembourg-----Infanta Maria Anna of Portugal
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Grand Duchess Charlotte of Luxembourg-----Prince Felix of Bourbon de Parma
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Grand Duke Jean of Luxembourg-----Princess Josephine-Charlotte of Belgium
The father of Grand Duke Guilaume IV, Grand Duke Adolf, was married twice- first to Grand Duchess Elisavetha of Russia [who died in childbirth] and secondly to Princess Adelheid of Anhalt.
Guillaume IV had six daughters- Marie-Adelaide, Charlotte, Hilda, Antoinette, Elisabeth, and Sophie.
Marie-Adelaide was the Grand Duchess for five years after her father, until she was forced to abdicate in favor of her sister Charlotte. She never married and died soon afterwards, childless.
Charlotte- see above.
Hilda married Prince Adolf of Schwarzenburg.
Antoinette married Crown Prince Rupprecht of Bavaria [who was 30 years older than her]. She died in 1954 after a long illness; IIRC she was imprisoned in a concentration camp during WWII - this severely deteriorated her health and she never completely recovered.
Elisabeth married Prince Ludwig Philipp von Thurn und Taxis [who died at the age of 32], she also died fairly young [49].
Sophie married Prince Ernst Heinrich of Saxony, and she as well died early [39].
....the only two sisters to live long lives were Charlotte and Hilda, apparently.
Also through Grand Duke Jean's sisters, they are related to the noble families of Hohenburg, Henckel von Donnersmarck, Ledreborg, and Ligne:
Princess Elisabeth married Duke Franz Ferdinand von Hohenburg
Princess Marie Adelaide married Graf Karl Josef Henckel von Donnersmarck
Princess Marie Gabrielle married Knud Johan Ludvig Graf von Holstein-Ledreborg
Princess Alix married Prince Antoine de Ligne
....I hope I helped to answer your question.