Jennings was born in Fort Lauderdale, Florida. He was the youngest of five children to Chester Henry, an itinerant Southern Baptist preacher, and Alice Verna (Johnson) Jennings. His family was poor and constantly moved around the South as his father sought a permanent post. His father died when Kevin was eight and the family was living in a Lewisville, North Carolina trailer park. From then on he grew up in a rural atmosphere that was intolerant of African Americans and gay people; several of his cousins and uncles were in the Ku Klux Klan. He was constantly taunted and bullied.