Klein was born in Calgary, to Philip Andrew Klein (1917–2014) and Florence Jeanette Harper (1924–2004). His paternal grandparents were immigrants, from Germany and England, respectively. His father, Phil, was born in Rocky Mountain House, Alberta, grew up poor and rode the rails during the Great Depression in search of work. In the early 1940s he married Florence Harper, a waitress, and lived in her parents' basement in Calgary while trying to make ends meet working in construction. Ralph Klein's parents separated when he was five or six years old and he spent time living with his maternal grandparents in the Calgary's north end, and Rocky Mountain House with his mother. After separating from his mother, Klein's father worked as a professional wrestler in the Alberta circuit for most of the 1950s using the name Phil "The Killer" Klein and later became a businessman.