From Breslau, Silesia, he was born to Karl Lazarus, Count Henckel von Donnersmarck (1772–1864) and his wife Julie, née Countess von Bohlen (1800–1866). When his older brother Karl Lazarus Graf Henckel von Donnersmarck died in 1848, his father transferred his numerous mining properties and ironworks in Silesia to Guido, who soon became one of the richest men in Europe.
Henckel had a sister, Wanda (1826–1907). In 1843, Wanda married Ludwig, Prince von Schönaich-Carolath. Friedrich von Holstein, Political Secretary to the German Foreign Office, claimed that the father of one of her sons was either a waiter or a coachman.