Confrey was born in Peru, Illinois, United States, the youngest child of Thomas and Margaret Confrey. Wanting to be a concert performer, he attended Chicago Musical College and studied with private teachers. He later abandoned that idea for composing, encouraged by his oldest brother, James J. Confrey (who was an organist). By 1916 he was a staff pianist for Witmarks in Chicago.
After World War I he became a pianist and arranger for the QRS piano roll company. He also recorded for the AMPICO Company, which made piano rolls for their reproducing player piano mechanisms, which were installed in pianos such as the Mason & Hamlin, and Chickering to name a few. His novelty piano composition "Kitten on the Keys" (inspired by a stay at his grandmother's house during which he heard a cat walk on a piano) released in 1921, became a hit, and he went on to compose many other pieces in the same genre. "Dizzy Fingers" (1923) was Confrey's other ragtime biggest seller.
After the 1920s he turned more and more toward composing for jazz bands. He retired after World War II but continued to compose occasionally until 1959. He died in Lakewood, New Jersey after suffering for many years from Parkinson's disease. He left behind more than a hundred piano works, miniature operas, and songs, plus numerous piano rolls, music publications, and recordings.