Lili was born on February 20, 1967 in Glencoe, Illinois. She is one of six children who grew up in a big house in exclusive neighborhood, and her grandfather was one of the town's founders, but she does not describe her family as rich. Her father operated a hardware store. She graduated from New Trier High School, where Rock Hudson and Ann Margaret had gone to school. She attended Goodman Theatre School of DePaul University, Chicago.
Her first movie appearance on screen was a very brief part in "She's Having a Baby" in 1988, but her first featured role that same year was in the sleeper hit "Mystic Pizza".