Taking about his parents, he was born to a Bahamian-American former basketball player, Mychal George Thompson, and his wife, Julie.

His father played center for the University of Minnesota and center and forward for the Portland Trail Blazers, San Antonio Spurs, and Los Angeles Lakers of the National Basketball Association.

On February 8, 1990, Klay was born in Los Angeles, California, and attended Santa Margarita Catholic High School in high school. The athlete also has two siblings, Mychel and Trayce.

Mychel started playing for the Cleveland Cavaliers in the NBA, while Trayce is a Chicago Cubs outfielder. Unfortunately, there are not many details about their mother.