Burr was born in Munroe Falls, Ohio, and moved with his family to Cameron, Missouri when he was 10 years old, where his father opened a hardware store.

[4] Having been tutored by his mother, Burr left to study at the Chicago Academy of Design in December 1878, but returned home in April 1879 for good; it would be his only formal training.

In 1892, he began a four-year project illustrating a catalog of Heber R. Bishop's collection of jade antiquities for the Metropolitan Museum of Art.

Over the next five years, as they traveled in Italy, Germany, and the British Isles, Burr amassed sketches and watercolors that would provide the source material for his copper plate etchings of European scenes.

It was there, during summers spent in a cabin studio in a steep wooded canyon with panoramic views of the Rocky Mountains, that Burr began to concentrate on the work that made him famous.