Caroline Augusta Foley was born in 1859, one of ten children of Reverend John Foley and Caroline Augusta Windham. Rhys-Davids' great-grandfather was Vice Admiral William Lukin who had assumed the name Windham in 1824 upon inheriting Felbrigg Hall. Caroline joined University College London and gained her Bachelor of Arts degree in 1886. She was awarded a master's degree in 1889 and was elected a fellow in 1896. While reading Economics, Caroline was advised by her professor to further her interests in Indian philosophy by studying Sanskrit and Pali. Upon contacting the language department she was assigned to Professor Rhys-Davids. They began a relationship which was formalised into marriage in 1894.