At age 12 she wrote a book, She Was Nice to Mice. She gave up dance in favor of acting full time, however, and then started studying acting with acting teacher Harold Guskin. She started dancing with the American Ballet Theatre at age six and was planning to make it a full-time career. She attended the Bank Street School for Children, followed by Columbia Grammar & Preparatory School in New York City, graduating in 1980. Her maternal grandmother was from Odessa, Ukraine. Sheedy's mother is Eastern European Jewish, whereas her father is of Irish Catholic background.
Sheedy Jr., is a Manhattan advertising executive. Her mother, Charlotte ( née Baum), is a writer and press agent who was involved in women's and civil rights movements, and her father, John J. Alexandra Elizabeth Sheedy was born in New York City on June 13, 1962, and has two siblings, brother Patrick and sister Meghan.