Anderson was born in Chicago, Illinois, the daughter of Rosemary Anderson, a computer analyst, and Edward Anderson, who owned a film post-production company.[1] Soon after her birth, her family moved to Puerto Rico for 15 months and then to Crouch End and finally Harringay[2] in North London, so that her father could attend the London Film School. When Anderson was 11 years old, her family moved again, this time to Grand Rapids, Michigan. She attended Fountain Elementary and then City High-Middle School, a program for gifted students with a strong emphasis on the humanities; she graduated in 1986.
With her English accent and background, Anderson was mocked and felt out of place in the American Midwest and soon adopted a Midwest accent. To this day, her accent depends on her location - for instance, in an interview with Jay Leno she spoke in an American accent, but in an interview with Michael Parkinson she spoke with an English accent.[3][4][5] In addition, she had her nose pierced in the early 1980s and dyed her hair various colors. Her high school classmates voted her as "Most Bizarre," "Class Clown", "Most Likely to go Bald" and "Most Likely to be Arrested." She was caught trying to jam the high school doors by filling their locks with glue on the eve of her graduation.[6]
Anderson was interested in marine biology, but began acting her freshman year in high school productions, and later in community theater, and served as a student intern at the Grand Rapids Civic Theatre. She attended The Theatre School at DePaul University in Chicago (formerly the Goodman School of Drama), where she earned a Bachelor of Fine Arts in 1990. She also participated in the National Theatre of Great Britain's summer program at Cornell University.