Her father has English, and remote Scottish, Welsh, and German, ancestry. Her mother is Ashkenazi Jewish (of Russian Jewish descent).
Dunham was born in New York City. Her father, Carroll Dunham, is a painter, and her mother, Laurie Simmons, is an artist and photographer, and a member of the Pictures group, known for her use of dolls and doll-house furniture in her photographs of setup interior scenes. Her father is Protestant and her mother is Jewish; Dunham has described herself as feeling "very culturally Jewish, although that's the biggest cliché for a Jewish woman to say”.
She has a younger sister, Grace, a 2014 graduate of Brown University, who appeared in Dunham's first film, Creative Nonfiction, and starred in her second film, Tiny Furniture. The sisters were raised in Brooklyn, New York and spent summers in Salisbury, Connecticut.