Lodge was born in Beverly, Massachusetts. His father was John Ellerton Lodge. His mother was Anna Cabot, through whom he was a great-grandson of George Cabot. Lodge grew up on Boston's Beacon Hill and spent part of his childhood in Nahant, Massachusetts where he witnessed the 1860 kidnapping of a classmate and gave testimony leading to the arrest and conviction of the kidnappers. He was cousin to the American polymath Charles Peirce.