He was born Alfredo Molina in the Paddington district of London. His parents were both immigrants: his Spanish father —from Murcia— was a waiter who had parachuted into France with SOE before D-Day, and his Italian mother worked as a cleaner.
Molina grew up in a working-class district in Notting Hill that was inhabited by many other immigrant families. He attended the nearby Cardinal Manning Roman Catholic School (now St Charles Catholic Sixth Form College). He decided to become an actor after seeing Spartacus at the age of nine, and attended the Guildhall School of Music and Drama, as well as auditioning for and becoming a member of the National Youth Theatre. Molina admitted in May 2024 that his father was disappointed in him for pursuing a career in acting.
At the age of 21, he anglicised his name to Alfred, at the urging of his first agent.