Anthony Gross was born in 1905, at Dulwich, London, the son of the Hungarian cartographer and founder of Geographia Ltd, Alexander Gross (1880–1958), and suffragette Isabelle Crowley (1886-1938). His sister was the artist, writer and publisher Phyllis Pearsall. He attended Shrewsbury House School and later Repton School until 1922, and from the following year studied at the Slade School of Fine Art under Henry Tonks. Later studies were at the Central School of Art and Crafts, London, the École des Beaux-Arts, Paris, and the Academia de San Fernando, Madrid. In 1925 he studied within life classes and as an engraver at Académie Julian and Académie de la Grande Chaumière, Paris.
Following study, Gross painted and produced intaglio prints in Spain, painted in Brussels, and in 1928 returned to work in Paris, and other parts of France, working entirely from life. While in France he developed a working relationship with Józef Hecht and Stanley William Hayter. During the early 1930s he exhibited in Paris galleries, becoming a member of the La Jeune Gravure Contemporaine, designed costumes and settings for ballet. He later illustrated books with etchings.