Walsingham was the son of Thomas de Grey, 5th Baron Walsingham, and Augusta-Louisa, daughter of Sir Robert Frankland-Russell, 7th Baronet. He was born on Stanhope Street in Mayfair, the family's London house. He was educated at Eton and Trinity College, Cambridge.
Walsingham came from a noble lineage, being the son of Thomas de Grey, 5th Baron Walsingham, and Augusta-Louisa, daughter of Sir Robert Frankland-Russell, 7th Baronet. He was born in their London estate on Stanhope Street in Mayfair, and later attended Eton and Trinity College, Cambridge.