He was born in Kristiania as a son of Carl Keilhau (1864–1900) and Modesta Konow (1864–1931). Keilhau was a Saxon immigrant family in the late 1700s. Wollert Keilhau was a grandson of Lieutenant Colonel Wilhelm Christian Keilhau and nephew of Major General Hans Vilhelm Keilhau, and first cousin of economist and historian Wilhelm Christian Keilhau. On the mother's side he was a great-grandson of politician Carl Konow, and named after his maternal grandfather Wollert Otto Konow (1833–1895).Genealogical entry for Modesta Konow
