Hu was born in Honolulu, Hawaii, the daughter of Juanita, an engineering drafter for Honolulu, and Herbert Hu, a salesman and exotic bird feeder; the two divorced during Hu's childhood. She is of Hawaiian, Chinese, and English descent. She attended Maʻemaʻe Elementary School and Kamehameha Schools in Honolulu, Hawaiʻi.

Hu has held a lifelong interest in singing and dancing and has also been interested in martial arts since her early childhood, when her older brother would arrange for her to fight neighborhood boys. Hu's cousin was a successful model in Japan and Hu decided to follow her example. To gain publicity, Kelly won the Miss Hawaii Teen USA 1985 title and competed in the Miss Teen USA 1985 pageant, becoming the third Miss Teen USA titleholder. Hu has mentioned in interviews that her mother had told her America was not ready for an Asian as such a prominent role model. However, Hu became the first Asian American to win the title. Ironically enough, she discovered aft