Jesse Cox was born around 1843 in New Jersey to Jesse Cox and Susannah Deacon. His father was a merchant who owned $12,000 of real estate and $30,000 of personal property in 1860. The family moved to Philadelphia, Pennsylvania, sometime in the 1840s, and they settled in Norristown, Pennsylvania, by 1860.
They returned to Philadelphia in the 1860s, and by 1870, Cox was working as a lawyer. He married Annie Malcom in Philadelphia on October 21, 1869, and they had at least four children: Howard, born around 1871; Arthur, born around 1873; Granville, born around 1875; and Jessie, born around 1880. They moved to Chicago, Illinois, around 1872, and Cox died there on September 10, 1902.