Dolores Concepción Martínez de Anda, known as Lola from a young age, was born on 3 April 1903 in Lagos de Moreno, Jalisco, Mexico, to Sara de Anda and Gonzalo Martínez, a dealer who imported art and furniture. Her parents appear to have separated when she was very young. When she was around three years old, her father took Martínez and her older half-brother, Miguel, to live in Mexico City in a large 28-room mansion. One of her brother's friends who lived nearby, Manuel Álvarez Bravo, was a frequent visitor at their home on Calle de Factor (now Calle de Allende).