He was born on 4 September 1880 to Sophia and Pascoe Du Pré Grenfell. He was one of fifteen children. He had a twin brother, Riversdale Grenfell, also in the 9th Lancers, who was killed in action in September 1914. Their maternal grandfather was Admiral John Pascoe Grenfell and other relatives included their uncle, Field Marshal Francis Grenfell, 1st Baron Grenfell. An older brother, Lieutenant Robert Septimus Grenfell, 21st (Empress of India's) Lancers, was killed in a cavalry charge during the Battle of Omdurman in 1898. Three other brothers, Cecil Grenfell, Howard Maxwell Grenfell and Arthur Morton Grenfell all reached the rank of Lieutenant Colonel in the British Army. A cousin, Lieutenant Claude George Grenfell (Thorneycroft's Mounted Infantry) was killed at Spion Kop during the Boer War and two other cousins Julian Grenfell, the poet, and his brother, Gerald William Grenfell, were killed in the First World War.