Harry Cheaney was the son of Joseph Cheaney and Sarah Ann Bridgstock. He was born in Kettering where his father was a shoe maker. The family moved to Desborough about 1870 and by 1881 Harry was a clerk in the shoe manufactory managed by his father.

Harry married Caroline Carew Dillon in late 1884 or early 1885.

Caroline was born in Lincolnshire, the daughter of Charles Dillon and Ellen Robinson. Th. The Dillon family moved to Desborough within a few months of the Cheaneys. Charles Dillon was a miller.

Caroline and Harry had two daughters, the second being born a few months after her father's early death.