Sanders was born in Saint Petersburg, Russian Empire, at number 6 Petrovski Ostrov. His parents were Henry Peter Ernest Sanders (1868–1960), and Margarethe Jenny Bertha Sanders (née Kolbe; 1883–1967), who was born in Saint Petersburg, of mostly German, but also Estonian and Scottish, ancestry. A biography published in 1990 claimed that Sanders's father was the illegitimate son of a Russian noblewoman of the Czar’s court and a prince of the House of Oldenburg, married to a sister of the Czar. The actor Tom Conway (1904–1967) was George Sanders's elder brother. Their younger sister, Margaret Sanders, was born in 1912.