McDonnell was born in Wilkes-Barre, Pennsylvania, and raised in Ithaca, New York. She is the daughter of Eileen (née Mundy; 1921–1990) and John "Jack" McDonnell (1923–1973), a computer consultant. Her siblings are Jane (1950–2005), Sally, Judith, Jackie, and John. She is of Irish descent. After graduating from the State University of New York at Fredonia, she attended drama school and joined the prestigious Long Wharf Theatre in New Haven, Connecticut, with which she worked for over 20 years.