O'Donnell, the third of five children, was born and raised in Commack, Long Island, New York. She is the daughter of homemaker Roseann Teresa (née Murtha; 1934–1973) and Edward Joseph O'Donnell (1933–2015), an electrical engineer who worked in the defense industry. O'Donnell's father had immigrated from County Donegal, Ireland during his childhood, and her mother was Irish American; O'Donnell was raised Roman Catholic. Her older brother is Daniel J. O'Donnell, now a member of the New York State Assembly. On March 17, 1973, four days before her 11th birthday, O'Donnell lost her mother to breast cancer. While she attended Commack High School, O'Donnell was voted homecoming queen, prom queen, senior class president, and class clown. During high school, she began exploring her interest in comedy, beginning with a skit performed in front of the school in which she imitated Gilda Radner's character Roseanne Roseannadanna. After graduating in 1980, O'Donnell briefly attended Dickinson College, later transferring to Boston University before ultimately dropping out of college.