Thomas David was born on June 4, 1877 near Reed City, Michigan, United States, son of David and Mary Ellen (Jordan) Schall. The family was left destitute upon the death of his father, who had been a captain in the Union army.
Thomas and his mother moved to Taylor Township, Traverse County, Minnesota, where they were living in 1885. The mother found work in a hotel and turned her son over to a well-to-do family. Thomas, however, quarreled with his foster parents and when he was about nine years old ran away to join a circus. For the next few years he fended for himself, wandering about the Middle West as a circus roustabout, and selling papers in Chicago, where, he confessed, he sometimes spent the nights "over warm gratings and on an ironing-board in a laundry. "