Effersøe was born in Tvøroyri.[1] His surname comes from the Icelandic island of Effersey (Old Norse Örfirisey 'island of the ebb tide').[2] He was the son of the local administrator (sysselmann) Gudmund Christie Laurentius Isholm Effersøe and the brother of the agronomist, poet, and politician Rasmus Effersøe (1857–1916) and the lawyer Poul Effersøe (1871–1926).[1][3]