She was born on 29 October 1875, at Eastwell Park in Kent, the eldest daughter of Prince Alfred, Duke of Edinburgh and Grand Duchess Maria Alexandrovna of Russia.
Her father was the second-eldest son of Queen Victoria and Prince Albert of Saxe-Coburg-Gotha. Her mother was the only surviving daughter of Alexander II of Russia and Maria Alexandrovna of Hesse.
She was baptised in the Private Chapel of Windsor Castle on 15 December 1875 and her godparents were the Empress and Tsarevitch of Russia, the Duchess of Saxe-Coburg and Gotha, the Princess of Wales and the Duke of Connaught.
As her father was in the Royal Navy she spent much of her early childhood abroad, particularly in Malta.