Small was the son of Albion Keith Parris Small and Thankful Lincoln Woodbury. Hew was born in Buckfield in Maine. He studied theology from 1876 to 1879 at the Andover Newton Theological School. From 1879 to 1881 he studied at the University of Leipzig and the University of Berlin in Germany history, social economics and social politics.
He taught for some years at Colby College, Waterville in Maine. From 1888 to 1889 he studied history at the John Hopkins University in Baltimore, Maryland and was promoted in 1889 with a Ph.D. thesis about "The Beginnings of American Nationality.", at the same time continuing teaching at Colby College.
In 1892 he founded the first Departement of Sociology at the University of Chicago. He chaired this departement for over 30 years. In 1895 he established the American Journal of Sociology. From 1905 to 1925 he served as Dean of the Graduate School of Arts and Literature at the University of Chicago.
His works include: