 Born on Avery Island, Louisiana, McIlhenny was educated on the Island by private tutors before attending Dr. Holbrook's Military School in Sing Sing (now Ossining), New York and Phillips Academy in Andover, Massachusetts.He later attended business school in Poughkeepsie, New York, as well as Tulane and Harvard universities (although he did not complete his studies).In the late 1880s McIlhenny worked as a clerk on a ship in the Gulf of Mexico, but returned to Avery Island on the death of his father in 1890.