In the movie Mad Max: Fury Road, I didn't catch any mentions of who Max was and where he came from. His name was barely mentioned in the end. However, IMDb provided his character name as Max Rockatansky, which makes me think of Slavik countries. So what is Max's background?
Who Mad Max is explained in the first Mad Max movie, Mad Max. The plot synopsis on wikipedia should give you the background you are looking for.
The backstory isn't really brought up in the following 3 movies likely because it's not all germane to those 3 stories. In each of the subsequent stories, Mad Max is more of a supporting character.
Max is a former law officer. When society begins to break down, law enforcement begins to break down as well. Max endures a personal crisis, which forces him to become alone and nomadic.
As stated in the previous comments and answer, that isn't really as important as you might think, since his past is never brought up. However, if you're interested in "what makes a person tick", it's probably an important piece of information.
Watch the first movie, "Mad Max", it's actually quite good. It will also give you a good understanding of how he became who he is.