Sevigny was born Chloe Stevens Sevigny in Springfield, Massachusetts, the second child of Janine (née Malinowski) and Harold David Sevigny (December 28, 1940—February 12, 1996). She has one older brother, Paul. According to Sevigny, she added the diaeresis to her first name later in life, and it was not on her birth certificate. Her mother is Polish-American, and her father was of French-Canadian heritage, born in Vermont. She was raised in a strict Roman Catholic household in Darien, Connecticut, where her father worked as an accountant, and later a local art teacher. Despite Darien's affluence, Sevigny's parents had a "frugal" household, and were considered "the poor bohemians in [an] extremely prosperous neighborhood." "My dad worked in insurance and worked very hard to bring us up in that town," she recalled. "He wanted us to grow up in a really safe environment. And I never thanked him for doing that."
As a child, she expressed interest in acting, and spent summers attending theatre camp, with leading roles in plays run by the YMCA. She attended Darien High School, where she was a member of the Alternative Learning Program. While in high school, she often babysat actor Topher Grace and his younger sister. As a young teenager, she worked sweeping the tennis courts of a country club her family could not afford to join.
Sevigny described herself as a "loner" and a "depressed teenager" whose only extracurricular activity was occasionally skateboarding with her older brother: "Mostly I sewed. I had nothing better to do, so I made my own clothes." Despite being "very well-mannered" due to her mother's strict expectations, she "did hang out at the Mobil station and smoke cigarettes." In high school, she grew rebellious and began experimenting with drugs, particularly hallucinogens. She has said that her father was aware of her experimentation with hallucinogens and marijuana, and even told her that it was okay, but that she had "to stop if she had bad trips". Despite her father's leniency, her mother forced her to attend Alcoholics Anonymous meetings upon discovering her drug experimentation. In 2007, she told The Times: "I had a great family life—I would never want it to look as if it reflected on them. I think I was very bored ... I often feel it's because I experimented when I was younger that I have no interest as an adult. I know a lot of adults who didn't, and it's much more dangerous when you start experimenting with drugs as an adult. In 1996, when Sevigny was twenty years old, her father died of cancer.