In Chapter IV when Nick and Gatsby ride together into New York, Gatsby tells Nick about his past, in Gatsby's words "something about my life." He then tells Nick of his wealthy Midwestern family background and his Oxford education--a family tradition, he said. When his family died, he inherited "a good deal of money" that allowed him to travel throughout the European capitals where he collected jewels, hunted big game, painted, and tried to escape a sad, sad memory. His story continued as he recounted his military service in World War I and his decoration for heroism, a medal presented to him by Montenegro.
Throughout his recitation, Nick found Gatsby's speech and manner to be laughable; in fact, he had to make an effort to keep from laughing aloud. Nick found Gatsby's story to be beyond belief, including his birth in that famous Midwestern city, San Francisco. Nick was convinced that Gatsby's whole story was one lie upon another, until the end of it when Gatsby showed Nick two of his souvenirs: a photo of himself at Oxford and the medal from Montenegro. Both seemed very authentic, to Nick's complete astonishment, and convinced him that Gatsby's story was "all true." We find later that parts of it were true, at least.
Gatsby shared information about his life because he wanted Nick to think well of him. As Gatsby said, "I don't want you to get a wrong idea of me from all these stories you hear." As Chapter IV continues, we find out why. Gatsby wants a reunion with Daisy Buchanan, and he wants Nick to arrange their meeting.