Humphrey was born in Oak Park, Illinois, but grew up in Chicago, Illinois. She was the daughter of Horace Buckingham Humphrey, a journalist and one-time hotel manager, and Julia Ellen Wells, who had trained as a concert pianist. She was a descendant of pilgrim William Brewster who arrived on the Mayflower in 1620. In Chicago, with the encouragement of her mother, she studied with eminent ballet masters as well as with Mary Wood Hinman, who taught dance at her school, the Francis Parker School. While still at high school she undertook a concert tour of the western states as a dancer, with her mother as accompanist, in a group sponsored by the Santa Fe Railroad for its Workman's Clubs.