Erik Weisz was born in Budapest to a Jewish family. His parents were Rabbi Mayer Sámuel Weisz (1829–1892) and Cecília Steiner (1841–1913). Houdini was one of seven children: Herman M. (1863–1885) who was Houdini's half-brother by Rabbi Weisz's first marriage; Nathan J. (1870–1927); Gottfried William (1872–1925); Theodore (1876–1945); Leopold D. (1879–1962); and Carrie Gladys (1882–1959), who was left almost blind after a childhood accident.
Weisz arrived in the United States on July 3, 1878, on the SS Fresia with his mother (who was pregnant) and his four brothers. The family changed their name to the German spelling Weiss, and Erik became Ehrich. The family lived in Appleton, Wisconsin, where his father served as Rabbi of the Zion Reform Jewish Congregation.
According to the 1880 census, the family lived on Appleton Street in an area that is now known as Houdini Square. On June 6, 1882, Rabbi Weiss became an American citizen. Losing his job at Zion in 1882, Rabbi Weiss and family moved to Milwaukee and fell into dire poverty. In 1887, Rabbi Weiss moved with Ehrich to New York City, where they lived in a boarding house on East 79th Street. He was joined by the rest of the family once Rabbi Weiss found permanent housing. As a child, Ehrich Weiss took several jobs, making his public début as a 9-year-old trapeze artist, calling himself "Ehrich, the Prince of the Air". He was also a champion cross country runner in his youth. When Weiss became a professional magician he began calling himself "Harry Houdini", after the French magician Jean Eugène Robert-Houdin, after reading Robert-Houdin's autobiography in 1890. Weiss incorrectly believed that an i at the end of a name meant "like" in French. In later life, Houdini claimed that the first part of his new name, Harry, was an homage to Harry Kellar, whom he also admired, though it was more likely adapted from "Ehri," a nickname for "Ehrich," which is how he was known to his family. When he was a teenager, Houdini was coached by the magician Joseph Rinn at the Pastime Athletic Club.
Houdini became an active Freemason and was a member of St. Cecile Lodge #568 in New York City. In 1918, he registered for selective service as Harry Handcuff Houdini.