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This paper reports a search for Higgs boson pair ($hh$) production in association with a vector boson ($W$ or $Z$) using 139 $fb^{-1}$ of proton-proton collision data at $\sqrt{s}=$ 13 TeV recorded with the ATLAS detector at the Large Hadron Collider. The search is performed in final states in which the vector boson decays leptonically ($W\to\ellν, Z\to\ell\ell,νν$ with $\ell=e, μ$) and the Higgs bosons each decay into a pair of $b$-quarks. It targets $Vhh$ signals from both non-resonant $hh$ production, present in the Standard Model (SM), and resonant $hh$ production, as predicted in some SM extensions. A 95% confidence-level upper limit of 183 (87) times the SM cross-section is observed (expected) for non-resonant $Vhh$ production when assuming the kinematics are as expected in the SM. Constraints are also placed on Higgs boson coupling modifiers. For the resonant search, upper limits on the production cross-sections are derived for two specific models: one is the production of a vector boson along with a neutral heavy scalar resonance $H$, in the mass range 260-1000 GeV, that decays into $hh$, and the other is the production of a heavier neutral pseudoscalar resonance $A$ that decays into a $Z$ boson and $H$ boson, where the $A$ boson mass is 360-800 GeV and the $H$ boson mass is 260-400 GeV. Constraints are also derived in the parameter space of two-Higgs-doublet models.