The son of Edward Bury, he was born at Great Bolas, Shropshire, where he was baptised on 21 April 1663. He was educated at Thomas Doolittle's academy, at that time in Islington. Here he was contemporary with Matthew Henry, who entered in 1680, and made friends with Bury. Edmund Calamy, who entered in 1682, speaks of Bury as a student of philosophy, not divinity.
