Gerzso was born in Mexico City, in the times of the Revolution. His parents were Oscar Gerzso (), a Hungarian immigrant, and Dore Wendland, German by birth. After his father's death a few months after Gunther was born, his mother married a German jeweler. The economic crisis during the revolution caused the family to flee to Europe in 1922. The family returned to Mexico two years later and her mother divorced. Not being able to provide for the children, she sent Gunther to Lugano, Switzerland to live with his uncle Dr. Hans Wendland, who was an influential name in the art world. Gunther, then a teenager, met Paul Klee and lived among his uncle's collection of paintings which included works by Pierre Bonnard, Rembrandt, Paul Cézanne, Eugène Delacroix and Titian. During his time in Lugano, he also met Nando Tamberlani, noted set designer who would introduce him to the world of theater.