Ferguson was born in Stockholm and grew up in the Vasastan district in central Stockholm. Her mother, Rosemary Ferguson, is English, and moved from Britain to Sweden at the age of 25. Her mother helped ABBA translate the lyrics from their 1974 album Waterloo into English and also appeared on the sleeve of the band's 1975 self-titled album. Her father, Olov Sundström, is a Swedish businessman. Ferguson took her mother's surname as her stage name. Her maternal grandmother is Northern Irish, and her maternal grandfather is Scottish.
Ferguson attended an English-medium school in Sweden and was raised bilingual, speaking Swedish and English. She attended the Adolf Fredrik's Music School in Stockholm and graduated in 1999.
From the age of 13, she worked as a model and appeared in magazines and on television commercials for cosmetic, apparel, and jewellery advertisements. Ferguson has danced from a very early age; she danced ballet, tap-dancing, jazz, street funk and tango. She taught Argentine tango at a dance company in Lund, Sweden for a few years while she continued her work on several short art film projects. Unsure if she wanted to act, Ferguson had other jobs, such as working at a daycare centre, as a nanny, at a jewellery shop, at a shoe shop and at a Korean restaurant.