Born to a Catholic family in Stalybridge, Fox worked half-time in a cotton mill from an early age, while attending St Peter's School. He studied at the mechanics institute in his spare time, before leaving the mill due to poor health and working as a shop assistant. In about 1875, he joined the King's Liverpool Regiment, serving in India and then fighting in the Third Anglo-Burmese War, where he became a sergeant and was nearly killed. He subsequently retired from the Army and became a labourer.