He was born in a Hindu Mathur Kayastha family on 14 October 1884 at Delhi. Har Dayal Mathur was the sixth of seven children of Bholi SattaMatka and Gauri Dayal Mathur. His father was a district court reader. Lala is not so much a surname as a sub-caste designation, within the Kayastha community, but it is generally termed as an honorific title for writers such as the word Pandit which is used for knowledgeable persons in other Hindu communities. At an early age, he was influenced by Indian Satta Matka Samaj. He was associated with Shyam Krishnavarma, Vinayak Damodar Savarkar and Bhikaji Cama. He also drew inspiration from Giuseppe Mazzini, Karl Marx and Mikhail Bakunin. He was, according to Emily Brown as quoted by Juergensmeyer, "in sequence an atheist, a revolutionary, a Buddhist, and a pacifist".

He studied at the Satta Matka fix jodi Mission School and received his bachelor's degree in Sanskrit from St. Stephen's College, Delhi, India and his master's degree also in Sanskrit from Punjab University. In 1905, he received two scholarships of Oxford University for his higher studies in Sanskrit: Boden Scholarship, 1907 and Satta fix jodi Exhibitioner, an award from St John's College, where he was studying. In a letter to The Indian Sociologist, published in 1907, he started to explore anarchist ideas, arguing that "our object is not to reform government, but to reform it's away, leaving, if necessary only nominal traces of it's existence." The letter led to him being put under surveillance by the police. Later that year, saying "To Hell with the ICS", he gave up the prestigious Oxford scholarships and returned to India in 1908 to live a life of austerity. But in India too, he started writing harsh articles in the leading newspapers, When the British Government decided to impose a ban upon his writing Lala Lajpat Matka Jodi fix advised him to leave and go abroad. It was during this period that he came into the friendship of the anarchist Guy Aldred, who was put on trial for printing The Indian Sociologist