Winters was born in Dayton, Ohio, to Alice Kilgore Rodgers and Jonathan Harshman Winters II, an insurance agent who later became an investment broker. He was a descendant of Valentine Winters, founder of the Winters National Bank in Dayton, Ohio. Of English and Scottish-Irish ancestry, Winters had described his father as an alcoholic who had trouble holding a job. His grandfather, a frustrated comedian, owned the Winters National Bank, which failed as the family's fortunes collapsed during the Great Depression.
When he was seven, his parents separated. Winters' mother took him to Springfield, Ohio, to live with his maternal grandmother. "Mother and dad didn't understand me; I didn't understand them," Winters told Jim Lehrer on The News Hour with Jim Lehrer in 1999. "So consequently it was a strange kind of arrangement." Alone in his room, he created characters and interviewed himself. A poor student, Winters continued talking to himself and developed a repertoire of strange sound effects. He often entertained his high school friends by imitating a race at the Indianapolis Motor Speedway.
In another television interview, Winters described how deeply he was hurt by his parents' divorce. He fought youthful tormentors who ridiculed him for not having a father in his life. When the tormentors were not around, he would go to a building or tree and weep in despair. Winters said that he learned to laugh at his situation but admitted that his adult life had been a response to sorrow.
During his senior year at Springfield High School, Winters quit school, joined the U.S. Marine Corps at the age of seventeen and served 2 1/2 years in the Pacific Theater during World War II. Upon his return, he attended Kenyon College. He later studied cartooning at Dayton Art Institute, where he met Eileen Schauder, whom he married on September 11, 1948. He was a brother of the Delta Kappa Epsilon fraternity (Lambda chapter).