O'Day was born on March 11, 1870, in Titusville, Pennsylvania. His father, Daniel O'Day, was a director of the Standard Oil Company and a prominent factor in the petroleum business for forty years.
O'Day's birthplace and family background reveal that he came from a prominent oil industry family. As the son of Daniel O'Day, who was instrumental in the Standard Oil Company for four decades, O'Day's life was shaped by his father's significant contributions to the petroleum business.