Cary was born on October 29, 1918, in San Diego, California, as Peggy-Jean Montgomery, the second daughter of Marian (née Baxter) and Jack Montgomery. While some sources incorrectly give her birth name as Margaret, Cary herself, in her autobiography, notes that she was indeed born as Peggy-Jean. She further explains that although the Roman Catholic nuns at her birth hospital recommended the name Margaret, her parents rejected the suggestion. Her elder sister, called Louise or, occasionally, Jackie, was legally named Jack-Louise.