Henry Judson Sage was born in Cincinnati, Ohio on December 27, 1867. His father, Henry Ward Sage, was in the gas business. Harry Sage, as he was known to his family, graduated from Yale University in the class of 1889, where he was a member of the University Glee Club and the first young man at Yale to be president of the Glee Club in both his junior and senior years. After graduating from Yale he entered Massachusetts Institute of Technology in 1890 and received a degree of Bachelor of Science in 1892. In 1893 he became an electrical engineer with the Southern Electric Company in Baltimore and later with the Western Electric Company in Chicago. He spent most of early years in the electrical industry designing dynamos.

He married Clara Belle Fry, daughter of Henry Clay Fry of Rochester, Pennsylvania, on November 3, 1892. His son Donald Henry Sage was born August 2, 1893. Harry Sage worked in various electrical engineering firms over the years, and by 1930 he had become a stock broker for electrical companies in New York City. When the Depression hit, he, like many other brokers, found himself caught in the downward economic spiral. Unable to face the fact that he could apparently no longer survive in business or support his family, he took his own life by jumping off the Brooklyn Bridge.