Conley is the son of Olympic gold and silver medalist triple jumper Mike Conley, Sr. and the nephew of former Pittsburgh Steelers linebacker Steve Conley.

Born in Fayetteville, Arkansas, Conley attended Lawrence North High School in Indianapolis, Indiana, where he played with friend and future Ohio State teammate Greg Oden. After leading Ohio State to the NCAA Championship Game, in which they would lose to Florida, Conley declared for the NBA Draft. The Memphis Grizzlies drafted Conley in 2007 as the fourth pick.