When Henry Stephen McCoy was born on 27 July 1837, in Montgomery, Indiana, United States, his father, Stephen Daniel McCoy, was 37 and his mother, Sarah Mary Lindsey, was 35. He married Nova Zembla Smith about 1862. They were the parents of at least 11 sons and 3 daughters. He lived in Carthage, Hancock, Illinois, United States in 1880. He died on 5 September 1907, in Harvard, Clay, Nebraska, United States, at the age of 70, and was buried in Harvard, Clay, Nebraska, United States.