Gyllenhaal was born in Cleveland, Ohio, to Virginia Lowrie (née Childs) and Hugh Anders Gyllenhaal. He is of Swedish and English descent; through his father, he is a member of the Gyllenhaal family, and a descendant of the cavalry officer Nils Gunnesson Haal, who was ennobled in 1652 when Queen Christina of Sweden conferred upon him the crest and family name, "Gyllenhaal." Stephen grew up in Bryn Athyn, Pennsylvania, a suburb of Philadelphia in a close-knit Swedenborgian family and graduated from Trinity College in Hartford, Connecticut in 1972, with a degree in English. His mentor at Trinity was the poet Hugh Ogden.