Relatively little was known about Jay Gatsby's background. His real name growing up had been James Gatz. He was the son of farmers:
His parents were shiftless and unsuccessful farm people — his imagination had never really accepted them as his parents at all (The Great Gatsby, Chapter 7).
He was seventeen years old when he decided to change his name to Jay Gatsby. Long before he was seventeen, Jay Gatsby had not felt like he belonged in his own life. He did not quite fit in. Years before he changed his name to Jay Gatsby, he had contemplated the idea. The new identity of the former James Gatz "sprang from his Platonic conception of himself." This new identity was "just the sort of Jay Gatsby that a seventeen-year-old boy would be likely to invent, and to this conception he was faithful to the end."
On the day that James Gatz decided to take on a new identity and persona, he spotted a yacht out on Lake Superior. Inspired, he took on his new identity of Jay Gatsby. He decided to leave his whole life behind. It had been a life of hard work, one where he dug for clams and fished to earn extra money. Before that, he attended a small Lutheran college and did janitorial work to help pay for it.
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.