Schellenberg was born in Saarbrücken, Germany.[1] He was the seventh child born to his parents and his father was a piano manufacturer.[2] Schellenberg moved with his family to Luxembourg when the French occupation of the Saar Basin after the First World War triggered an economic crisis in the Weimar Republic. Like many young intellectuals who would later join the Sicherheitsdienst (SD), Schellenberg was deeply affected by the economic woes which befell Germany in the wake of the First World War.[3]