Hans Lundgren was born on 3 November 1957 in Spånga, the son of Sigrid Birgitta (née Tjerneld), a language teacher, and Karl Johan Hugo Lundgren, an engineer and economist for the Swedish government. He lived in Spånga until the age of 13, when he moved to his grandparents' home in Nyland, Ångermanland. Some sources wrongly state 1959 as his year of birth, but Lundgren himself has confirmed it to be 1957. He has two sisters and an older brother; he was raised in the Lutheran church. Lundgren claims his father was physically abusive and vented his frustration on his wife and eldest son. He has stated that, during his tirades, his father would call him a "loser," which motivated him later as he grew more ambitious to prove himself. But he also said, "I still love my father, no matter what happened. There are many things about him I still admire. As a child, I was probably too much like him, very stubborn—perhaps that's what he couldn't deal with." He has cited his troubled relationship with his father as the reason he developed a desire to participate in heavy contact sports such as boxing and karate.
Lundgren has said that, as a child, he was insecure and suffered from allergies, describing himself as a "runt". He showed a keen interest in drumming and had aspirations to become a rock star. At age seven, he tried judo and Gōjū-ryū. He took up Kyokushin karate at the age of 10, and began lifting weights as a teenager. Lundgren stated that "My dad always told me that if I wanted to make something special with my life, I had to go to America." After graduating from high school with straight As, he spent some time in the United States in the 1970s on various academic scholarships, studying chemical engineering at Washington State University and Clemson University. He studied chemical engineering for a year at Washington State University, prior to serving his mandatory one year in the Swedish Marine Corps at the Amphibious Ranger School. In the late 1970s, he enrolled at the Royal Institute of Technology in Stockholm and graduated with a degree in chemical engineering. The name "Dolph" comes from a distant relative on his mother's side.
Amidst his years of studying, Lundgren honed his karate skills by training hard in the dojo for five years, attaining the rank of 2nd dan black belt in Kyokushin in 1978. He captained the Swedish Kyokushin karate team, and was a formidable challenger at the 1979 World Open Tournament (arranged by the Kyokushin Karate Organization) when he was only a green belt. He won the European championships in 1980 and 1981, and a heavyweight tournament in Australia in 1982. In 1982, Lundgren graduated with a master's degree in chemical engineering from the University of Sydney. During his time in Sydney, he earned a living as a bouncer in a nightclub in the renowned King's Cross area.
Lundgren was awarded a Fulbright Scholarship to the Massachusetts Institute of Technology in 1983. However, while preparing for the move to Boston, he was spotted in the nightclub he worked at in Sydney and was hired by Grace Jones as a bodyguard, and the two became lovers. Their relationship developed dramatically, and he moved with her to New York City. While living with Jones in her New York City apartment, Lundgren dabbled in modeling at the Zoli Agency but was described as "a bit too tall and muscular for a model's size 40". He earned a living as a bouncer at the Manhattan nightclub The Limelight; housed in the former Episcopal Church of the Holy Communion, working with Chazz Palminteri. In the daytime, he studied drama at the Warren Robertson Theatre Workshop and has said that "my time in New York City opened up my adolescent Swedish eyes to a multitude of different people and lifestyles, mostly in the arts. I hung out with Andy Warhol, Keith Haring, Iman and Steve Rubell, danced at Studio 54, and studied acting with Andie MacDowell and Tom Hulce." Friends told him he should be in movies. He would later quit studying at the Massachusetts Institute of Technology after two weeks to pursue acting.