Rudolph

was born in Castellaneta, Apulia, Kingdom of Italy and named Rodolfo Pietro Filiberto Raffaello Guglielmi di Valentina d'Antonguella. His father, Giovanni Antonio Giuseppe Fedele Guglielmi di Valentina d'Antonguella, was Italian; he was a captain of cavalry in the Italian Army, later a veterinarian, who died of malaria when Rodolfo was 11 years of age. His mother, Marie Berthe Gabrielle Barbin (1856–1918), was French, born in Lure in Franche-Comté. had an older brother, Alberto (1892–1981), a younger sister, Maria, and an older sister, Beatrice, who had died in infancy.

As a child, Rodolfo was indulged because of his exceptional looks and his playful personality. His mother coddled him, while his father disapproved of him. He did poorly in school and was eventually enrolled in agricultural school in Genoa, where he earned a certificate.

After living in Paris in 1912, he soon returned to Italy. Unable to secure employment, he departed for the United States in 1913. He was processed at Ellis Island at age 18 on December 23, 1913. Although he found unparalleled fame and success in America, never filed the necessary papers for naturalization, and so retained his Italian citizenship.