The elder of two sons, Macnee was born in Paddington, London, England, on 6 February 1922; to Daniel Macnee (1878–1952) and British socialite Dorothea Mabel Macnee (née Henry) (1896–1984). His father, who was a grandson of the Scottish artist Sir Daniel Macnee, trained race horses in Lambourn, and was known for his dress sense; he had served as an officer in the Yorkshire Dragoons in the First World War. His maternal grandmother was Frances Alice Hastings (1870–1945), who was the daughter of Vice-Admiral George Fowler Hastings and granddaughter of The 12th Earl of Huntingdon. His younger brother James, known as Jimmy, was born five years later. Macnee saw himself as a Scot.
Macnee's parents separated after his mother came out as a lesbian. His father later moved to India, and his mother began to live with her wealthy partner, Evelyn Spottiswoode, whose money came from the Dewar's whisky business. Macnee referred to her in his autobiography as "Uncle Evelyn", and she helped pay for his schooling. He was educated at Summer Fields School and Eton College, where he was a member of the Officer Training Corps and was one of the guard of honour for King George V at St George's Chapel in 1936. He was later expelled from Eton for selling pornography and being a bookmaker for his fellow students.
Macnee studied acting at the Webber Douglas Academy of Dramatic Art, but shortly before he was to perform in his first West End leading role, which would have had him acting alongside Vivien Leigh, he was called up for the Royal Navy. He joined as an ordinary seaman in October 1942 and was commissioned a sub-lieutenant in June 1943, becoming a navigator on Motor Torpedo Boats in the English Channel and North Sea. Reassigned as first lieutenant on a second MTB, Macnee caught bronchitis just before D-Day; while he was recuperating in hospital, his boat and crew were lost in action. Two of the crew received the Distinguished Service Medal. He left the Royal Navy in 1946 as a lieutenant.

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