Stein, the youngest of a family of five children, was born on February 3, 1874, in Allegheny, Pennsylvania (which merged with Pittsburgh in 1907) to upper-middle-class Jewish parents, Daniel and Amelia Stein.[8][9] Her father was a wealthy businessman with real estate holdings. German and English were spoken in their home.[

When Stein was three years old, she and her family moved to Vienna, and then Paris. Accompanied by governesses and tutors, the Steins endeavored to imbue their children with the cultured sensibilities of European history and life.[11] After a year-long sojourn abroad, they returned to America in 1878, settling in Oakland, California, where her father became director of San Francisco's street car lines, the Market Street Railway, in an era when public transportation was a privately owned enterprise.[12] Stein attended First Hebrew Congregation of Oakland's Sabbath school.[13] During their residence in Oakland, they lived for four years on a ten-acre lot, and Stein built many memories of California there. She would often go on excursions with her brother, Leo, with whom she developed a close relationship. Stein found formal schooling in Oakland unstimulating, but she read often: Shakespeare, Wordsworth, Scott, Burns, Smollett, Fielding, and more.[9]

When Stein was 14 years old, her mother died. Three years later, her father died as well. Stein's eldest brother, Michael Stein, then took over the family business holdings and in 1892 arranged for Gertrude and another sister, Bertha, to live with their mother's family in Baltimore.[14] Here she lived with her uncle David Bachrach,[15] who in 1877 had married Gertrude's maternal aunt, Fanny Keyser