Shue was born in Wilmington, Delaware. Her mother, Anne Harms (née Wells), was a bank executive who was the vice president of the private division of the Chemical Banking Corporation. Her father, James Shue, is a lawyer and real estate developer who was the president of the International Food and Beverage Corporation and was active in Republican politics, having once unsuccessfully run for the U.S. Senate in New Jersey.

Shue grew up in Bergen and Essex counties in New Jersey. Her parents divorced while she was in the fourth grade. Shue graduated from Columbia High School, in Maplewood, New Jersey, and attended Wellesley College and Harvard University, from which she withdrew to pursue her acting career. She returned to Harvard, 15 years after withdrawing, to finish her degree in Government in 2000. Shue was awarded entrance into Columbia High School's Hall of Fame in 1994, along with her brother, Andrew.