William George Montagu Hay was born on 4 November 1884. He was the eldest son of William Hay, 10th Marquess of Tweeddale (1826–1911) and the former Candida Louisa Bartolucci, Marchioness of Tweeddale. His brother, Lord Arthur Hay (who married Menda Ralli), was killed in 1914 during the Battle of the Aisne, and his youngest brother (and heir presumptive), was Colonel Lord Edward Douglas Hay.