Gatsby's parents were "shiftless and unsuccessful farm people...his imagination never realy accepted him as his parents at all." This life is not one their son can envision for himself. He longs for the finer things.
In Chapter 7, Fitzgerald confides:
James Gatz--that was really, or at least leagally his name. He had changed it at the age of seventeen and at the specific momemt that witnessed the beginning of the end of his career--when he saw Dan Cody's yacht drop anchor over the most indisous plat on Lake superior. It was James Gatz who had been loafing along the beach that afternon in a torn green jersey and a pair of canvas pants, but it was already Jay Gatsby who borrowed a row-boat, pulled out to the Tuolomee and informed Cody that was wind might catch him and break him up in a half and hour."
Gatsby manages to talk himself into service on the Toulomee. Cody buys him the proper yachting gear: pants, coat, cap. "And when the Tuolomee left for the West Indies and the Baraby Coast Gatsby left too."
So, when James Gatz leaves West Egg, he leaves behind a drab and decidedly non-glamourous life (of which his parents are a primary part) for another of adventure and promises of escaping his roots.