Область Войска Донского
Khanzhonkov was born in the small village of Khanzhonkova of the Don Host Oblast (modern-day Makiivka, Donetsk Oblast) into a noble family of Don Cossacks. His father Alexei Petrovich Khanzhonkov was a landlord who went bankrupt. His mother Paraskeva Sergeevna Khanzhonkova (née Dmitrieva) came from a colonel's family who owned a Singer shop in Moscow. The noble title was first granted to Aleksandr's great-grandfather Vasily Khanzhonkov.