Born at Bonsall-in-the-Peak in Derbyshire, Rolley worked at Cromford Mill in his youth.
He later undertook a wide variety of jobs, including police officer, engine driver, steelworker, and farrier, and at some point moved to Sheffield.
He hoped to be selected as the Liberal-Labour candidate for Sheffield Attercliffe at the 1885 general election, but was not chosen.
He was disappointed by this, and although he supported Irish Home Rule, he felt that party members were overly critical of Chamberlain for his opposition to the policy.
[3] In 1888, Rolley joined the Conservative Party, stating that "the working classes were likely to get as much from the Tories as from the Liberals".