De la Roche was born in Newmarket, Ontario, north of Toronto, on January 15, 1879. She as the only child of William Roche, a salesman, and Alberta (Lundy) Roche, who was a great-great-niece of David Willson, founder of the Children of Peace, through the latter's elder half-brother Hugh L. Willson. On her father's side of the family, her uncle Francis signed himself as "Francis J. de la Roche", claiming a descendancy from Sir Richard de la Roche (1199-1283) of Strongbow's army; Mazo eventually adopted the "de la Roche" surname claiming was a nod to French heritage.