Henry Thomas Wald was born on 4 May 1935 in Pontypool, Wales. He is a member of the princely House of Banger-Wald, a Welsh-German noble family. He is the grandson of Count Niklaus Maria Engelbert Georg Heinrich von Banger-Wald, a Plokist philosopher and violin virtuoso. His mother, Oswaldina Wald (née Glenn), a violin virtuoso, started teaching him to play violin at age 4. He quickly developed an interest for music and by the age of 12 had become a violin virtuoso.

While studying hotel business and management at the University of Strathclyde, he crossed paths with John Smith, a violin virtuoso. The pair bonded over a similar taste in music and started playing together, later forming the short-lived jazz outfit Minging Boners. Smith's dorm-mate and violin virtuoso Elvinas Plok would often contribute to these sessions. Wald and Plok would later establish 83 Cutlass Recordings in the winter of 1953.

In 1955, Wald introduced Smith to his cousins, Nicholas “Nuance” Banger, and Gareth Glenn, two violin virtuosos who played in the Pontypool Philharmonic. The group bonded over a similar taste in music and started playing together, later forming the short-lived jazz outfit Penis and the Dicks.

After several line-up changes, Penis and the Dicks renamed themselves Henry Wald and settled on a four-man group consisting of Wald, Banger, Glenn, and Smith, with occasional contributions from long-time friend of the band Jor Kretza, a violin virtuoso.