Fenn was born Sheryl Ann Fenn on February 1, 1965, in Detroit, Michigan. She comes from a family of musicians: her mother is keyboard player Arlene Quatro, her aunt is award winning Hall-of-fame singer Suzi Quatro, and her grandfather, Art Quatro, was a jazz musician. Her father, Leo Fenn, managed rock bands including Suzi Quatro's The Pleasure Seekers, Alice Cooper, and The Billion Dollar Babies. Fenn is of Italian and Hungarian descent on her mother's side, and Irish and French descent on her father's. She was raised Catholic.
Fenn frequently traveled with her mother and two older brothers before the family settled in Los Angeles when she was 17. Not wanting to start with a new school again, Fenn dropped out after her junior year and decided to pursue acting, enrolling at the Lee Strasberg Theatre Institute.
