Fiennes was born in Reading, Berkshire, the second son of John Twisleton-Wykeham-Fiennes, 17th Baron Saye and Sele and his wife, Lady Augusta Hay-Drummond, a daughter of the 11th Earl of Kinnoull. He was educated at Malvern College, In 1894, Fiennes married Florence Agnes Fletcher née Rathfelder (from Constantia, Cape Town). They lived in Windlesham and Sunningdale and had two children: John Eustace (1895–1917, Battle of Arras) and Sir Ranulph Twisleton-Wykeham-Fiennes, 2nd Baronet (1902–1943).