Anaïs Nin was born in Neuilly, France, to Joaquín Nin, a Cuban pianist and composer of Catalan Spanish descent, and Rosa Culmell, a classically trained Cuban singer of French and Danish descent. Her father's grandfather had fled France during the Revolution, going first to Saint-Domingue, then New Orleans, and finally to Cuba where he helped build that country's first railway.
Nin was raised a Roman Catholic but left the Church at the age of 16. She spent her childhood and early life in Europe. Her parents separated when she was two; her mother then moved Anaïs and her two brothers, Thorvald Nin and Joaquín Nin-Culmell, to Barcelona, and then to New York City, where she attended high school. Nin would drop out of high school in 1919 at age sixteen, and according to her diaries, Volume One, 1931–1934, later began working as an artist's model. After being in the United States for several years, Nin had forgotten how to speak Spanish, but retained her French and became fluent in English.
On March 3, 1923, in Havana, Cuba, Nin married her first husband, Hugh Parker Guiler (1898–1985), a banker and artist, later known as "Ian Hugo" when he became a maker of experimental films in the late 1940s. The couple moved to Paris the following year, where Guiler pursued his banking career and Nin began to pursue her interest in writing; in her diaries she also mentions having trained as a flamenco dancer in Paris in the mid-to-late 1920s with Francisco Miralles Arnau. Her first published work was a critical evaluation of D. H. Lawrence called D. H. Lawrence: An Unprofessional Study, which she wrote in sixteen days.
Nin became profoundly interested in psychoanalysis and would study it extensively, first with René Allendy in 1932 and then with Otto Rank. Both men eventually became her lovers, as she recounts in her Journal. On her second visit to Rank, Nin reflects on her desire to be "re-born" as a woman and artist. Rank, she observes, helped her move back and forth between what she could verbalize in her journals and what remained unarticulated. She discovered the quality and depth of her feelings in the wordless transitions between what she could say and what she could not say. "As he talked, I thought of my difficulties with writing, my struggles to articulate feelings not easily expressed. Of my struggles to find a language for intuition, feeling, instincts which are, in themselves, elusive, subtle, and wordless."
In the late summer of 1939, when residents from overseas were urged to leave France due to the approaching war, Nin left Paris and returned to New York City with her husband. (Guiler was, according to his own wishes, all but edited out of the diaries published during Nin's lifetime; his role in her life is therefore difficult to gauge.) During the war, Nin sent her books to Frances Steloff of the Gotham Book Mart in New York for safekeeping.
In New York, Anaïs rejoined Otto Rank, who had previously moved there, and moved into his apartment. She actually began to act as a psychoanalyst herself, seeing patients in the room next to Rank's, and having sex with her patients on the psychoanalytic couch. She quit after several months, however, stating: "I found that I wasn't good because I wasn't objective. I was haunted by my patients. I wanted to intercede." It was in New York that she met the Japanese-American modernist photographer Soichi Sunami, who went on to photograph her for many of her books.