DeLee was the fifth son and ninth of ten children of Morris and Dora Tobias DeLee, Jewish immigrants from Poland. His paternal grandfather was a French army surgeon who settled in Poland following Napoleon's failed invasion of Russia. DeLee was born in Cold Spring, New York, but the family moved to New Haven, Connecticut, New York City, and finally, in 1885, Chicago, Illinois, where DeLee graduated from South Division High School in 1888.