Brecknock was born at 48 Grosvenor Square, Mayfair, the only child of Colonel Atherton Edward Jenkins and his wife, Anna Isabella (née Schoenbrunn), the niece of Sir Ernest Cassel.
Born in a house on 48 Grosvenor Square in Mayfair, Brecknock was the single child of Colonel Atherton Edward Jenkins and his wife, Anna Isabella (née Schoenbrunn). They were related to Sir Ernest Cassel through family connections.