Massey was born in Toronto, Ontario, the son of Anna Vincent, who was American-born, and her husband Chester Daniel Massey, the wealthy co-owner of the Massey-Harris tractor company. He was the grandson of businessman Hart Massey and great-grandson of company founder Daniel Massey. His branch of the Massey family immigrated to Canada from New England a few years before the War of 1812, their ancestors having migrated from England to the Massachusetts colony in the 1630s.
He attended secondary school at Upper Canada College in Toronto for two years before transferring to Appleby College in Oakville, Ontario. He also took several courses at the University of Toronto, where he was an active member of the Kappa Alpha Society.[citation needed]
Massey joined the Canadian Army at the outbreak of World War I, and served on the Western Front in the Royal Regiment of Canadian Artillery. Lieutenant Massey returned to Canada after being wounded at Zillebeke in Belgium during the Battle of Mont Sorrel in 1916 and was engaged as an army instructor for American officers at Yale University. In 1918, he was recalled to active service and joined the Canadian Siberian Expeditionary Force that went to Siberia during the Allied intervention in the Russian Civil War. On the orders of his commanding general, he organized a minstrel show troupe with himself as end man in blackface to bolster morale of allied troops on occupation duty in Vladivostok.

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