Robert Baillie was born in 1602 in Glasgow. Much of what we know about Baillie's life is gleaned from the rich selection of extant documents that he produced himself; he was a meticulous chronicler of contemporary events. True to form, he recorded his precise time of birth on a blank leaf of a student notebook: Friday 30 April at 1:15 pm. Later, Baillie explained that he had been born in the same street as the theologian John Cameron, who had been ‘borne in our Salt-Mercat, a few doores from the place of my birth’. The Saltmarket was a southern continuation of Glasgow's High Street, running from the Market Cross down to the River Clyde. At the turn of the seventeenth century, Glasgow's population was approximately 7,000 and the burgh was entering a period of sustained economic growth. Whilst eastern burghs such as Aberdeen and Edinburgh were better situated to exploit trade routes with Continental Europe, Glaswegian merchants developed the burgh as a hub of domestic trade and its craftsmen established profitable textile and metalwork industries. In the 1650s, a captain in Cromwell's army, who had hitherto been critical of the Scottish towns he had visited, extolled the ‘now famous and flourishing Glasgow’, which he insisted should be considered the ‘nonsuch of Scotland, where an English florist may pick up a posie’.

Like most seventeenth-century ministers, Baillie's background was one of reasonably high social standing, only surpassed by leading merchants and landholders. In the nineteenth century, Laing incorrectly suggested that Baillie's father was Thomas Baillie, a merchant and descendant of the Baillies of Lamington, a family of minor lairds. According to Glasgow municipal records, published after Laing's account, Baillie's father was evidently James Baillie, a ‘merchant, B[urgess] and G[uild] B[rethren]’ of Glasgow, and his mother, Helen Gibson, was the daughter of Henry Gibson and Annabella Forsyth. From surviving records it appears that Baillie had one sister, Christian, and no brothers. Nevertheless, we get a sense from Baillie's letters that he felt to be strongly linked to a wider, spiritual community of Scots.