Henrik Wilhelm Gade was born 1953 in Copenhagen. Both his father (1909-85) and mother (1911-63) came from musical families. On his father Johannes W. Gade’s side were the composer Niels W. Gade and other Danish musicians and musical instrument makers. On his mother Ellen Gade’s side were fiddlers and classical musicians, and Ellen herself played the piano and sang. Johannes W. Gade was not musically gifted but wrote books and worked as an actor for a period.

Henrik took his final exam in 1972 in Latin and old Greek at the Metropolitan grammar School in Copenhagen. He studied Italian and art history at the university, but newer finished his studies due to music and theatre work.