Brynner was prone to exaggeration and invention, causing much uncertainty about his life, especially his childhood. He notably stated that he was born on Sakhalin Island in Russia and that his father was from Mongolia and his mother was a Romanian Roma. However, a 1989 biography by his son revealed that Brynner was born in Vladivostok, a city in what was then Far Eastern Republic. According to that book, Brynner’s father was an engineer of Russian and Swiss descent and his mother was Russian. While Brynner was still young, his father left the family, and they moved to China before settling in France. There, a teenaged Brynner became a nightclub balladeer and then a trapeze artist.

The next year, at the urging of Martin, he auditioned for Rodgers and Hammerstein's new musical in New York. He recalled that, as he was finding success as a director on television, he was reluctant to go back on the stage. Once he read the script, however, he was fascinated by the character of the King and was eager to perform in the project.