Sorg was born on July 22, 1878, in Middletown, Ohio to Paul John Sorg and Susan Jennie Gruver (1854–1930). On June 22, 1904, he married Grayce Aull of Pittsburgh, Pennsylvania.
Sorg went to Yale University but left after his freshman year.
In 1900, Sorg inherited $10,000,000 from his father, who died in 1902. He inherited a majority interest in, and was elected president of, the Merchants’ National Bank. At that time, he was the youngest national bank president in the United States.