Gunn was born in Wisconsin but was educated in San Francisco after his family moved to California.[1]
After debuting in a bit part in a play in San Francisco,[1] Gunn acted on stage with the Harry Davis,[2] Morosco, and Alcazar stock theater troupes,[3] and was the leading man for theatrical companies in Cincinnati, Minneapolis, and Pittsburgh.[4] He also toured in productions of St. Elmo and The Conspiracy.[1]