Sleigh was the son of William Sleigh and Frances Wallace. His mother was the illegitimate daughter of Admiral Sir James Wallace. He also had a brother called Francis Wallace Sleigh who went to live in South Africa.[1] In 1783 his father is mentioned in the events surrounding the court case involving Charles Bourne and Sir James Wallace.[2] Along with his mother and siblings he is mentioned as a beneficiary in the will of Sir James Wallace (who died in 1803).[3] Sleigh married Eliza Fagan, the daughter of Major-General Christopher Sullivan Fagan and Agnes Baldock in 1831.[4]