Kay Sage, born as Katherine Linn Sage, came to the world on June 25, 1898, in Albany, New York, United States. She was a second daughter of Henry Manning Sage, a businessman and a state senator, and Anne Wheeler Ward, a daughter of a physician. The wealthy family earned money from the timber industry. Kay’s elder sister was named Anne Erskine.
Sage’s parents lived separately most of the time and from about 1900 Anne Wheeler left her husband and the older daughter in order to travel around Europe with Kay. The official divorce came in 1908 but Henry continued to support his ex-wife and their daughters.
Anne Wheeler and Kay Sage settled down in Rapallo, Italy where the young girl spent the most part of her childhood. From time to time, Kay made short visits to her father in Albany. More attached to her mother, she often wrote long letters to her father.
Living in Italy, the daughter and her mother visited many other cities. While traveling, Kay learned French, Italian, Spanish, and Portuguese from the governesses who looked after her. The girl developed a love for the bohemian lifestyle of her mother.
From an early age, Kay Sage revealed her passion for drawing and writing poetry. She never showed her papers to anyone.