Cleopatra Selene had two full brothers, her twin Alexander Helios and the younger Ptolemy Philadelphos. Her older half-brother, Caesarion, was the son of her mother and her first partner, Julius Caesar. Cleopatra most likely planned her only daughter to marry her eldest son Caesarion. Her father also had five other children with previous wives.
Her parents, Mark Antony and Cleopatra VII, were defeated by Octavian (future Roman Emperor Caesar Augustus), during a naval battle at Actium, Greece in 31 BC. In 30 BC, her parents committed suicide as Octavian and his army invaded Egypt. Octavian captured Cleopatra Selene and her brothers and took them from Egypt to Rome, parading them in heavy golden chains in his triumph. The chains were so heavy that the children were unable to walk in them, eliciting unexpected sympathy from many of the Roman onlookers. Octavian gave the siblings to his elder sister (Mark Antony's former wife) Octavia Minor to be raised in her household in Rome.