Elizabeth Jane Cochran was born in Cochran's Mills, Pennsylvania, a town named after her father, Michael Cochran, a wealthy landowner and judge. Her early life was comfortable, but after her father's death when she was six years old, the family's financial situation declined significantly. This early exposure to hardship likely fueled her later advocacy for the less fortunate.

Incensed by a misogynistic article titled "What Girls Are Good For" in the "Pittsburgh Dispatch", Elizabeth wrote a fiery rebuttal under the pen name "Lonely Orphan Girl." The editor, impressed by her passionate writing, offered her a position at the paper. She adopted the pen name Nellie Bly, launching her journalism career.