Fernand Halphen was the son of Georges Halphen, a diamond merchant, and of Henriette Antonia Stern (1836–1905), who was from the Stern banking family. From the age of ten, he studied under the direction of Gabriel Fauré before entering the Paris Conservatory where he took a composition course taught by Ernest Guiraud, who also taught Paul Dukas, Claude Debussy and Erik Satie. After Guiraud's death in 1892, Halphen studied with Jules Massenet, who also taught Henri Rabaud, Florent Schmitt, Charles Koechlin and Reynaldo Hahn. He won first prize for his fugue in 1895, and the next year won second place for the second Grand Prix de Rome with his cantata "Mélusine", behind Jules Mouquet and Richard d'Ivry.