He was born on July 31, 1858 in Honolulu, Hawaii. His father was Asa Goodale Thurston and mother Sarah Andrews. On his father's side he was grandson of Asa and Lucy Goodale Thurston, who were in the first company of American Christian missionaries to the Hawaiian Islands in 1820. On his mother's side, he was also the grandson of another early missionary, Lorrin Andrews. His father was speaker of the house of representatives of the Kingdom of Hawaii but died when Lorrin was only a year and a half old in December 1859. He then moved to Maui with his mother.