The youngest son of Alfred Ridley Bax (1844–1918) and his wife, Charlotte Ellen (1860–1940), daughter of Rev.

William Knibb Lea, of Amoy, China,[4][2] Bax was born in Upper Tooting, south London (not Knightsbridge, as sometimes stated).

He met and played chess with Aleister Crowley in 1904, and kept up an acquaintance with him over the years, later in the 1930s introducing both the artist Frieda Harris and the writer John Symonds to him.

His interest in the esoteric extended to editing works of Jakob Boehme, and helping Allan Bennett, the Buddhist.

He also edited, with Austin Osman Spare, Golden Hind, an artistic and literary magazine that appeared from October 1922 to July 1924.