Steen was born on 3 November 1964 in Frederiksberg, Denmark, the daughter of musician and Conductor Niels Jørgen Steen and the Actress Avi Sagild. She is the sister of musician and actor Nikolaj Steen. Steen applied to the Acting School of Odense Theatre 13 times before being accepted and attending from 1988 to 1992. Steen performed on stage in Dr. Dante productions and been associated with the Royal Danish Theatre since 1997. In 1997 she wrote and performed in the satirical television series Lex og Klatten. In 1998, Steen became an active participant in the Dogme 95 film movement as the only performer to appear in the first three movies: Lars Von Trier's The Idiots, Festen by Thomas Vinterberg, and Søren Kragh-Jacobsen's Mifune's Last Song.