Oates was born in Putney, London, England in 1880. His parents were William and Caroline Oates. His family was rich. They had owned land at Gestingthorpe, Essex, for hundreds of years. His father moved the family there when his children were small. He had an older sister, named Lillian, who married an Irish singer and actor. His uncle was a naturalist and African explorer. Oates studied at Eton College, but he left after less than two years because of poor health. He then attended an army school in Eastbourne.