Pandit Shambhu Maharaj, whose actual name is Shambhunath Mishra, was born in the city of Lucknow. He was the youngest child of his father, Kalka Prasad Maharaj. He received his early dance training from his father. His uncle, Bindadin Maharaj and even his elder brothers, Achchan Maharaj and Lacchu Maharaj were tremendously helpful and supportive regarding dance. He learned Hindustani classical music from Ustad Rahimuddin Khan.