Bailey was born on January 13, 1964, in Bath and was raised in Keynsham, a town between Bath and Bristol. The only child of a hospital ward sister and a general practitioner, he lived in a house which also doubled as his father's surgery. Bailey attended King Edward's School in Bath, in which he was considered a gifted student with a skill for learning. However, at the age of 15, he began to drift away from acedemics and towards music and performing in the school band, Behind Closed Doors.