He was born in Bergamo to a family of Swiss origin. His father and brothers owned a silk factory and his father was a collector and bibliophile. Gustavo graduated from the University of Pisa in Italian literature in 1864 and in 1866 became a volunteer in Garibaldi's army in the Third Italian War of Independence. After the death of Frizzoni's father, the family friend and art historian Giovanni Morelli took over the education of Frizzoni and his brothers.