Anna Lane was born on October 12, 1908 in Old Saybrook, Connecticut as the youngest of three daughters to Peter Clark Lane and Bertha James Lane. Her parents belonged to the black minority of the small town. Her father was a pharmacist and her mother was a shop owner, chiropodist, and hairdresser. Ann and her sister were raised "in the classic New England tradition: a study in efficiency, thrift, and utility (…) They were filled with ambitions that they might not have entertained had they lived in a city along with thousands of poor blacks stuck in demeaning jobs."
The family had none of the trappings of the middle class until Petry was well into adulthood. Before her mother became a businesswoman, she worked in a factory, and her sisters, Ann's aunts, worked as maids. The Lane girls were raised sheltered from most of the disadvantages other black people in the United States had to experience due to the color of their skin; however there were a number of incidents of racial discrimination.
As she wrote in "My Most Humiliating Jim Crow Experience," published in Negro Digest in 1946, there was an incident where a racist decided that they did not want her on a beach. Her father wrote a letter to The Crisis in 1920 or 1921 complaining about a teacher who refused to teach his daughters and his niece. Another teacher humiliated her by making her read the part of Jupiter, the illiterate ex-slave in the Edgar Allan Poe short story "The Gold-Bug".
Petry had a strong family foundation with well-traveled uncles, who had many stories to tell her when coming home; her father, who overcame racial obstacles, opened a pharmacy in the small town; and her mother and aunts set a strong example: Petry, interviewed by the Washington Post in 1992, says about her tough female family members that “it never occurred to them that there were things they couldn’t do because they were women.”