Julius Stein was born in on December 31, 1905, in London, England. He studied piano with a teacher from the London Conservatory of Music starting in 1911.
His family emigrated to America in 1913 to Chicago, Illinois. He studied piano and composition at the Chicago College of Music, and began playing with the Chicago, Detroit, and St. Louis Symphonies at 12, but his small hands and a childhood injury precluded a career in playing. He began playing in bands, and as the pit piano player for stage shows and burlesque house at 13 (without his parents' knowledge).