Coe was born Percy Newbold Coe in Stepney, the eldest child of Violet (née Newbold) and Percy Coe Sr. (1893–1974). Coe had a younger brother, Peter, who died in infancy in 1928, and he took on his brother's first name as a dedication to him. He was brought up in just two rooms on Cambridge Heath Road. Coe's first marriage ended in divorce, and in 1954 he married Tina Angela Lal, with whom he had four children including Sebastian Coe.
He worked in the merchant navy at the age of 19, during the Second World War, and was on a boat named the A.D. Huff that was torpedoed by the German battle cruiser Gneisenau, leaving him as one of only five survivors. He was picked up by a German boat, and was made to work in the kitchens, because he spoke fluent German. He was to be transferred to a prisoner-of-war camp, but escaped by jumping off of a train, along with a Canadian prisoner. He then walked all the way from Germany to Spain where he was imprisoned for six months.
After the war, while Sebastian was still young, the family moved up to Sheffield from Middlesex, and he worked there as a production engineer in a steel cutlery factory. He did not begin coaching Seb until just before he turned 50, his favourite sport being cycling rather than athletics.
As an engineer, Coe became dissatisfied with the athletics coaching offered to his son Sebastian at his first club, Hallamshire Harriers. This training was based on the principles propounded by the New Zealand coach Arthur Lydiard, and involved a substantial amount of long-distance running. By contrast, Coe took the view that "long slow training turned you into a long slow runner", and adopted a system of speed-endurance training involving fast repetitions with short recoveries, based on the ideas of the German coach Woldemar Gerschler. He used his fluency in German to translate many East German books on training. Much of his training was also based on self-taught biomechanics, from his background as an engineer. In addition to coaching his son Sebastian, Peter Coe also coached Wendy Smith-Sly, who placed second in the 3000 metres at the 1984 Summer Olympics. He would often refer to himself as Sebastian Coe's coach rather than his father.
Coe's second wife, and mother of four of his five children, Tina Angela Coe (née Lal), died in Hammersmith and Fulham, London, in 2005, aged 75. Peter Coe died in 2008, aged 88. He and his son Sebastian remained close up until his death, speaking almost every day on the phone. Previously they had co-written two books on athletics coaching together.
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- Butcher, Pat (2004). The Perfect Distance: Ovett and Coe - The Record Breaking Rivalry. ISBN 0-297-84745-7.[clarification needed]
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- "Roger Black, Peter Coe and Basil Heatley among England Athletics Hall of Fame inductees - Athletics Weekly". Athletics Weekly. 18 October 2015. Retrieved 1 June 2016.