Margulies, the youngest of three daughters, was born in Spring Valley, New York, the daughter of Francesca, a ballet dancer and eurythmy teacher, and Paul Margulies, a writer who wrote the Alka-Seltzer catch phrase "Plop, Plop, Fizz, Fizz, oh what a relief it is". Margulies attended Green Meadow Waldorf School. As a child, she lived in New York, France, and England. Margulies's parents are Jewish, descended from immigrants from Austria, Hungary, and Romania; her mother converted to Christianity when Julianna was five years old.

Margulies obtained a B.A. from Sarah Lawrence College, where she appeared on campus in several plays. She studied with James Price at The Acting Studio, Inc. in New York City shortly after college.