Coburn was born in Macon, Georgia, the son of Scotch-Irish Americans Emma Louise Sprigman (May 11, 1838 Springfield, Ohio – November 12, 1896 Savannah, Georgia) and Moses Douville Coburn (April 27, 1834 Savannah, Georgia – December 27, 1902 Savannah, Georgia). Growing up in Savannah, he started out at age 14 doing odd jobs at the local Savannah Theater, handing out programs, ushering, or being the doorman. By age 17 or 18, he was the theater manager. He later became an actor, making his debut on Broadway in 1901. Coburn formed an acting company with actress Ivah Wills in 1905. They married in 1906. In addition to managing the company, the couple performed frequently on Broadway.