Grenfell was born on 4 September 1880. His parents were Sophia and Pascoe Du Pré Grenfell. He was one of fifteen children. He had a twin brother, Riversdale Grenfell. He was also in the 9th Lancers and killed in action in September 1914. Admiral John Pascoe Grenfell was their grandfather. Field Marshal Francis Grenfell, 1st Baron Grenfell was their uncle. An older brother, Lieutenant Robert Septimus Grenfell, 21st Lancers, was killed in a cavalry charge during the Battle of Omdurman in 1898. Three other brothers, Cecil Grenfell, Howard Maxwell Grenfell and Arthur Morton Grenfell all reached the rank of Lieutenant Colonel in the British Army. A cousin, Lieutenant Claude George Grenfell was killed at Spion Kop during the Boer War. Two other cousins Julian Grenfell (the poet) and his brother Gerald William Grenfell were killed in the First World War.