Savile was born in Thornhill, West Riding of Yorkshire, the eldest son of Sir William Savile, 3rd Baronet and his wife Anne Coventry, eldest daughter of Lord Keeper Thomas Coventry, 1st Baron Coventry. His father distinguished himself in the civil war in the royalist cause and died in 1644. Savile was also the nephew of Sir William Coventry, who is said to have influenced his political opinions, and of Lord Shaftesbury, afterwards his most bitter opponent, and great-nephew of the Earl of Strafford. He was the great-grandson of Sir George Savile of Lupset and Thornhill (created baronet in 1611). He was educated at Shrewsbury School in 1643 while his mother was staying with a sister in Shropshire. He later travelled in France, where he attended a Huguenot academy in Paris, stayed in Angers and Orléans, in Italy and in the Netherlands, and was also believed to have been educated in Geneva. He returned to England by 1652.