Board Thread:Sly Cooper series discussion/@comment-24676154-20150607003606/@comment-25606839-20150607004831

Sly was taken to the orphanage by "Wee One Protective Services". Bentley was anonymously delivered to the orphanage as an egg. Murray's origins are unclear, but he was raised at the orphanage.

None of this is stated in the video games, but it is stated on the old website for Sly Raccoon (wonder if Sanzaru would even know this if you asked them..)