Winifred Kimball Shaughnessy was born in Salt Lake City, Utah, into a family of relative privilege. Her maternal grandfather, Kimball, was a prominent businessman, providing a comfortable upbringing. This early exposure to a certain level of societal standing and artistic patronage likely influenced her later ambitions and sophisticated aesthetic.

Rambova received a substantial portion of her education in England, France, and Russia, thanks to her adoptive parents. This immersion in European culture, especially during a period of burgeoning artistic movements like Art Deco and Russian Constructivism, was crucial in shaping her unique artistic vision, far surpassing the styles popular in mainstream American art at the time.