It means you are burdened with debt: you are the horse, and the debt is riding on your back.
It is a very common expression, virtually a cliché. People are constantly said to be "saddled with" debt or a mortgage or a sullen husband or a nagging wife or teenage children.
They are completely different. With information, in the context you gave, of can only indicate ownership/possession. It is otherwise incorrect.
Information of your family
Means information belonging to your family.
To say information relating to something, we can use about or on. For example:
My family has a history of diabetes
This is information on my family or about my family. We wouldn't (in most contexts) say it is information of my family.
It's not common to talk about information belonging to someone in this way, so when you use "information of [someone]", it should be very clear that the information belongs to them in a special way, for example, it is a private record with protected status (like medical records). It may be better to use a clearer way to indicate possession in this case, for example:
information belonging to my family
my family's information
Another context where information might be followed by of could be when we are describing the information itself, for example in a phrase like
information of a sensitive nature
This does not mean information about "sensitive nature", but describes the information as sensitive (so it might need to be kept private). Similarly:
information of this kind is considered sensitive
This means the type of information we are talking about (such as medical records) is sensitive.
Best Answer
According to this author there's a subtle difference between the two uses:
However, the author concludes:
This said, if you want to be as correct as possible, you should treat the subject with due care.