Cyber and cyber-physical systems equipped with machine learning algorithms such as autonomous cars share environments with humans. In such a setting, it is important to align system (or agent) behaviors with the preferences of one or more human users. We consider the case when an agent has to learn behaviors in an unknown environment. Our goal is to capture two defining characteristics of humans: i) a tendency to assess and quantify risk, and ii) a desire to keep decision making hidden from external parties. We incorporate cumulative prospect theory (CPT) into the objective of a reinforcement learning (RL) problem for the former. For the latter, we use differential privacy. We design an algorithm to enable an RL agent to learn policies to maximize a CPT-based objective in a privacy-preserving manner and establish guarantees on the privacy of value functions learned by the algorithm when rewards are sufficiently close. This is accomplished through adding a calibrated noise using a Gaussian process mechanism at each step. Through empirical evaluations, we highlight a privacy-utility tradeoff and demonstrate that the RL agent is able to learn behaviors that are aligned with that of a human user in the same environment in a privacy-preserving manner