Huffman was born in Bedford, New York, into a wealthy family, the daughter of Grace Valle (née Ewing) and Moore Peters Huffman, a banker and partner at Morgan Stanley. Her parents divorced a year after her birth, and she was raised by both of them. When Huffman was a young teenager, she discovered that her biological father was Roger Tallman Maher, who was a family friend. She has six sisters and a brother. In the 1970s, Huffman's mother left New York and bought property in Snowmass, Colorado, where Felicity and her siblings spent their youth. Her great-grandfather was Gershom Moore Peters, founder of the Peters Cartridge Company and prominent Baptist minister, author of The Master. Another great-grandfather, Frederick Berthold Ewing, graduated from Yale University and became a prominent St. Louis businessman. Huffman's great-great-grandfather was Joseph Warren King, founder of the King Mills Powder Company. She has German, English, Scots-Irish, Scottish, French-Canadian, and Irish ancestry.
Huffman attended The Putney School, a private boarding high school in Putney, Vermont, and graduated from Interlochen Arts Academy in Michigan in 1981. She attended New York University, Circle in the Square Theatre School and the Royal Academy of Dramatic Art in London, England.
