Mrs. Deloria was born in Yankton Indian Reservation, South Dakota, United States, on January 30, 1888. Her parents were Mary (or Miriam) (Sully) Bordeaux Deloria and Philip Joseph Deloria, the family having Yankton Dakota, English, French and German roots. (The family surname goes back to a French trapper ancestor named Francois-Xavier Delauriers.)
Her father was one of the first Sioux to be ordained as an Episcopal priest. Her mother was the daughter of Alfred Sully, a general in the US Army, and a Métis Yankton Sioux. Ella Deloria was the first child to the couple, who each had several daughters by previous marriages. Her full siblings were sister Susan and brother Vine Deloria Sr., who became an Episcopal priest like their father.