Wain was born in Penarth near Cardiff, Wales to Florence E. Wain and Harris Wain. He was educated at The Cathedral School, Llandaff and then at Penarth Grammar School and St. Bees Grammar School. where he was a member of the Officer Training Corps. On the outbreak of the Great War, despite having won a scholarship to attend Oxford University, he joined the Territorial Army. He was commissioned into the Manchester Regiment on 16 July 1915 and served in France.