She was born at her family's holiday home in Kirribilli Point in Sydney, Australia. Her parents were Henry Herron Beauchamp (1825–1907), a wealthy shipping merchant, and Elizabeth (née Louey) Weiss Lassetter (1836–1919). She was called May by her family and she had four brothers and a sister. One of her cousins was the New Zealand-born Kathleen Beauchamp, who wrote under the pen name Katherine Mansfield. When she was three years old, the family moved to England, where they lived in London, but also spent several years in Switzerland.