Feng's father, Feng Fei, courtesy name Kongxiu, was born in June 1921 in Yanbu Village, Xiangtan County, Hunan Province. He attended the National Southwest Associated University and served as an officer in Fu Zuoyi's army during the Chinese Civil War before defecting to the Chinese Communist Party. In 1950, Feng Fei graduated from the Department of Western Languages at Peking University and later worked as a professor at several universities in Beijing. Feng's mother was a health doctor at a printing factory in Beijing. Feng Fei and his wife had two children, Feng and his sister Feng Xiaojun.
Feng Xiaogang was born in Dongguanying Hutong, Xicheng District, Beijing. When he was just over a year old, his parents divorced because his father was designated as a "rightist." Feng moved with his mother and sister to an area near her workplace at Beili Street, Chegongzhuang. The family lived in the compound of the Beijing Municipal Party School.
After high school, Feng Xiaogang joined the military and worked as a stage designer for the Beijing Military Region's Cultural and Arts Troupe. In 1977, he began working unofficially for the Propaganda Team of the 6th Armored Division of the 38th Army in Nankou, Changping District, Beijing, entering the unit by borrowing a military uniform after missing the 1977 conscription period. He officially enlisted in 1978. In his autobiography, Feng recalled joining as a trainee in the arts team and being promoted to a Level-23 cadre within three years. However, during the 1984 downsizing of the military initiated by the Central Military Commission, he was discharged, partly due to his romantic relationship with the daughter of a veteran in the drama team. Feng's seven years in the military arts troupe later served as inspiration for his film Youth.
After his discharge, Feng was initially assigned to work in the propaganda department of the Xizhimen Grain Warehouse in Beijing, but he declined the position. He was then offered two options: to continue serving as a staff officer in the Audio-Visual Education Department of the People's Armed Police Academy in Langfang, Hebei, or to transition into civilian life as a trade union officer for the Beijing Urban Construction Development Corporation. Feng chose the latter. In 1985, he joined the Beijing Television Arts Center as an art designer.