Siegfried Sassoon was born and grew up in the neo-gothic mansion named "Weirleigh" (after its builder, Harrison Weir), in Matfield, Kent, to a Jewish father and an Anglo-Catholic mother. His father, Alfred Ezra Sassoon (1861–1895), son of Sassoon David Sassoon, was a member of the wealthy Baghdadi Jewish Sassoon merchant family. For marrying outside the faith, Alfred was disinherited. Siegfried's mother, Theresa, belonged to the Thornycroft family, sculptors responsible for many of the best-known statues in London—her brother was Sir Hamo Thornycroft. There was no German ancestry in Siegfried's family; his mother named him Siegfried because of her love of Wagner's operas. His middle name, Loraine, was the surname of a clergyman with whom she was friendly.
Siegfried was the first of three sons, the others being Michael and Hamo. When he was four years old his parents separated. During his father's weekly visits to the boys, Theresa locked herself in the drawing-room. In 1895 Alfred Sassoon died of tuberculosis.
Sassoon was educated at the New Beacon School, Sevenoaks, Kent; at Marlborough College, Marlborough, Wiltshire (where he was a member of Cotton House), and at Clare College, Cambridge, where from 1905 to 1907 he read history. He went down from Cambridge without a degree and spent the next few years hunting, playing cricket and writing verse: some he published privately. Since his father had been disinherited from the Sassoon fortune for marrying a non-Jew, Siegfried had only a small private fortune that allowed him to live modestly without having to earn a living (however, he would later be left a generous legacy by an aunt, Rachel Beer, allowing him to buy the great estate of Heytesbury House in Wiltshire.) His first published success, The Daffodil Murderer (1913), was a parody of John Masefield's The Everlasting Mercy. Robert Graves, in Good-Bye to All That describes it as a "parody of Masefield which, midway through, had forgotten to be a parody and turned into rather good Masefield."
Sassoon expressed his opinions on the political situation before the onset of the First World War thus—"France was a lady, Russia was a bear, and performing in the county cricket team was much more important than either of them". Sassoon wanted to play for Kent County Cricket Club; Kent Captain Frank Marchant was a neighbour of Sassoon. Siegfried often turned out for Bluehouses at the Nevill Ground, where he sometimes played alongside Arthur Conan Doyle. He also played cricket for his house at Marlborough College, once taking 7 wickets for 18 runs. Although an enthusiast, Sassoon was not good enough to play for Kent, but he played cricket for Matfield, and later for the Downside Abbey team, continuing into his seventies.