Dorothy DeLay was born on March 31, 1917, in Medicine Lodge, Kansas to parents who were musicians and teachers. She began studying violin at age 4. At age 14, she graduated from Neodesha High School, where her father was superintendent. DeLay studied for one year at the Oberlin Conservatory with Raymond Cerf, a student of César Thomson, and transferred to broaden her education at Michigan State University, where she earned a B.A. in 1937 at age 20. She then entered the Juilliard Graduate School, where she studied with Louis Persinger, Hans Letz, and Felix Salmond.