Born Rosario Priolo in Sicily, Prio was brought to the United States by his adoptive parents in 1909. The family eventually settled in Chicago. As a young man, Prio accumulated an extensive arrest record, but a court order expunged it in 1929. During the later years of Prohibition, Prio became involved in bribing politicians and police officials for the Chicago Outfit. Prio made many loans to high-ranking police officials, including at least one member of the Chicago police intelligence unit.