Born in Kettering, Northamptonshire, Guillory is the daughter of American folk guitarist Isaac Guillory and his first wife, English model Tina Thompson, who married in 1973. Her father was the son of American and Turkish-Jewish parents and born at the Guantanamo Bay Naval Base in Cuba.
Her parents moved to Fulham, London, when Guillory was two, then later to Norfolk when she was 11. At the age of ten, she went to stay with cousins in Mexico to learn Spanish.
She has a half-brother, who has the same mother. Her father adopted him. Her parents divorced in 1990 when Sienna was 14. In 1993, her father married Vickie McMillan, and had two children with her, Ellie and Jacob.
Guillory attended Gresham's School in Holt, Norfolk, where she took part in numerous school productions. She started horseback riding at the age of two. At 14, she was given a horse, which she named The Night Porter, or "Porty", after the film The Night Porter; Guillory was a fan of its leading actress Charlotte Rampling.
In December 2000, Guillory's father died of cancer at the age of 53.
