Sheedy was born in New York City and has two siblings, brother Patrick and sister Meghan. Her mother, Charlotte (née Baum), is a Writer and press agent who was involved in women's and civil rights movements, and her Father, John J. Sheedy, Jr., is a Manhattan advertising executive. Sheedy's mother is Jewish, whereas her Father is of Irish Catholic background. Her maternal grandmother was from Odessa, Ukraine. Her parents divorced in 1971.