Etting was born on November 23, 1896, in David City, Nebraska, to Alfred Etting, a banker, and Winifred (née Kleinhan). Her mother died when she was five years old and she then went to live with her paternal grandparents, George and Hannah Etting. Her father remarried and moved away from David City and was no longer a part of his daughter's life. Etting's grandfather, George, owned the Etting Roller Mills; to the delight of his granddaughter, George Etting allowed traveling circuses and shows to use the lot behind the mills for performances.