New History of the Five Dynasties
It is not known when Liu Yanhao was born, but it is known that he was from Ying Prefecture (應州, in modern Shuozhou, Shanxi). His grandfather Liu Jianli () and father Liu Maocheng () both had accomplishments as army officers. (The biography of his older sister Lady Liu, who married Li Congke at some point, in the "New History of the Five Dynasties", gave their father's name as Liu Maowei ().) When Li Congke was commissioned the military governor ("Jiedushi") of Fengxiang Circuit (鳳翔, headquartered in modern Baoji, Shaanxi) by his adoptive father, then-emperor Li Siyuan, in 932, he had Liu Yanhao made an officer at Fengxiang. Liu Yanhao, while serving under Li Congke at Fengxiang, developed a reputation for being kind and tolerant.