Gonzaga was born the eldest of seven children, at his family's castle in Castiglione delle Stiviere, between Brescia and Mantua in northern Italy in what was then part of the Duchy of Mantua, into the illustrious House of Gonzaga. "Aloysius" is the Latin form of Aloysius de Gonzaga's given name in Italian, Luigi. He was the son of Ferrante de Gonzaga (1544–1586), Marquis of Castiglione, and Marta Tana di Santena, daughter of a baron of the Piedmontese Della Rovere family. His mother was a lady-in-waiting to Isabel, the wife of Philip II of Spain.