Nathaniel Pryor was born about 1806 in Kentucky. He married in 1838 in California, then part of Mexico, at Mission San Gabriel. The record stated his father's name as Nathaniel Pryor (speculated by researchers to be Nathaniel Hale Pryor) of Louisville and Mary Davis was his mother. His bride was Maria Teresa Sepulveda, a descendant of Francisco Xavier Sepulveda, a Mexican colonialist whose descendants owned vast tracts of land in Alta California.