Max was born to a Jewish family in Chicago, Cook County, Illinois, where he attended the public schools there. His father died in 1866, when Max was only five years old. The Great Chicago Fire of 1871 caused Max's family to lose all of their income, and two years later they moved to New York City and lived in the 7th Ward on the East-side. Max attended public schools on Monroe and Henry Streets. After school, Max had to work as an errand boy and a newsboy to help support his family financially.