Thayer was born in Lawrence, Massachusetts. His father owned several woollen mills, one in Worcester, Massachusetts, where Ernest grew up. At Harvard he was regarded as a brilliant philosophy student of William James; he also contributed to the annual Hasty Pudding plays and was an editor of the Harvard Lampoon.

After staying in Paris from 1885, Thayer returned to Worcester in 1887 and unenthusiastically managed one of the family's mills; he retired after about 20 years, and ended up in Santa Barbara, California, in 1912, where he married a widow and spent the rest of his life.

His only other published poems were several more humorous ballads for Hearst's New York Journal (1896-97). For many years he found it a nuisance to be associated with the Casey ballad, but in his final years he came to accept that he had written a classic of its kind. It has inspired many musical works, movies, paintings, sculptures and - above all - endless parodies and variations.