Sauer was born in Hamburg, Germany on 8 October 1862 as Emil Georg Conrad Sauer. He studied with Nikolai Rubinstein at the Moscow Conservatory between 1879 and 1881. On an 1884 visit to Italy he met the Countess von Sayn-Wittgenstein, who recommended him to her former paramour, Franz Liszt. He went on to study with Liszt for two years, but did not for some time consider himself a Liszt pupil. In an 1895 interview, he even denied it: "It is not correct to regard me as a pupil of Liszt, though I stayed with him for a few months. He was then very old, and could not teach me much. My chief teacher has been, undoubtedly, Nicholas Rubinstein." In his later years, however, Sauer realized the influence of Liszt on himself and on music in general.