Gregory was born in California in May 1879. His father, Nathan Gregory, was an Indiana native and an engineer. His mother, Marietta Gregory, was also an Indiana native. At the time of the 1880 United States Census, Gregory at age one was living in Lincoln, Placer County, California with his parents and three older sisters, Alameda, Cora and Louise. In 1900, Gregory was living in Redding, California with his uncle, George Groves, who was a hotel-keeper. Gregory worked as a clerk in his uncle's hotel.