Henry Edmond Gregory was born on May 30, 1839. His father, Rear Admiral Francis H. Gregory (1789-1866) served in the navy throughout most of the first half of the 19th century. His mother was named Elizabeth, and he had at least 3 siblings: John, Hugh, and Mary. The Gregory family lived in New Haven after 1850. Henry left for Charlestown, Massachusetts, in 1858, where he worked in a foundry. In June 1860, he moved to Niobrara, Nebraska, where he remained for about a year, working as a merchant and occasionally traveling to a nearby trading post, where he encountered members of the Ponca Indian tribe. He returned to the East following the outbreak of the Civil War in 1861. He later moved to the Dakota Territory and, by 1900, was living in Sioux City, Iowa, with his wife Anna, whom he married in 1875. They had at least one son, Harry.