Henry Engelhardt was born to a Jewish family on January 17, 1958, in Chicago, the son of Annette (née Bernstein) and Sheldon Arthur Engelhardt. His father owned a successful meatpacking operation in Chicago. He has a sister and a brother, Karen Engelhardt Stern and Joel Engelhardt. He was educated at the University of Michigan, and has a joint degree in journalism and radio, television and film. He followed his French girlfriend (now wife) to Europe where he studied for an MBA at Insead.