An haifi Henry Cavendish a ranar 10 ga Oktoba 1731 a Nice, inda iyalinsa ke zaune a lokacin. Mahaifiyarsa ita ce Lady Anne de Grey, 'yar ta huɗu na Henry Grey, 1st Duke na Kent, kuma mahaifinsa shi ne Lord Charles Cavendish, ɗan na uku na William Cavendish, 2nd Duke na Devonshire. Iyali ya bi diddigin zuriyarsa a cikin ƙarni takwas zuwa zamanin Norman, kuma yana da alaƙa da dangin aristocratic da yawa na Burtaniya. Mahaifiyar Henry ta mutu a 1733, watanni uku bayan haihuwar ɗanta na biyu, Frederick, kuma jim kaɗan kafin ranar haihuwar Henry ta biyu, barin Lord Charles Cavendish don ya haifi 'ya'yansa maza biyu.
1748 (shekara ta biyu)