Ferdinand was born on 26 February 1861 in Vienna, a German prince of the House of Saxe-Coburg and Gotha-Koháry. He was baptised in St. Stephen's Cathedral, Vienna on 27 February, having as godparents Archduke Maximilian of Austria and his wife Princess Charlotte of Belgium. He grew up in the cosmopolitan environment of Austro-Hungarian high nobility and also in their ancestral lands in Hungary and in Germany. The House of Koháry descended from an immensely wealthy Upper Hungarian noble family, who held the princely lands of Čabraď and Sitno in present-day Slovakia, among others. The family's property was augmented by Clémentine of Orléans' remarkable dowry.
The son of Prince August of Saxe-Coburg and his wife Clémentine of Orléans, daughter of King Louis Philippe I of the French, Ferdinand was a grandnephew of Ernest I, Duke of Saxe-Coburg and Gotha and of Leopold I, first king of the Belgians. His father August was a brother of King Ferdinand II of Portugal, and also a first cousin to Queen Victoria, her husband Albert, Empress Carlota of Mexico and her brother Leopold II of Belgium. These last two, Leopold and Carlota, were also first cousins of Ferdinand I's through his mother, a princess of Orléans. This made the Belgian siblings his first cousins, as well as his first cousins once removed. Indeed, the House of Saxe-Coburg and Gotha had contrived to occupy, either by marriage or by direct election, several European thrones in the course of the 19th century. Following the family trend, Ferdinand was himself to found the royal dynasty of Bulgaria.