Winifred Kimball Shaughnessy is born in Salt Lake City, Utah, to Michael and Winnifred Kimball Shaughnessy. Her father was a veteran of the Spanish-American War, and her mother was a descendant of early Mormon pioneers. The family background was one of social prominence within Utah.

The family experienced frequent moves during Winifred's childhood, including stays in Canada and England, exposing her to diverse cultural influences, including art, theater, and European fashion. These experiences are crucial in shaping her later design aesthetic.

Following her parents' divorce, Winnifred's mother remarried to Richard Hudnut, a wealthy cosmetics manufacturer. This adoption significantly improved their social standing and provided access to greater financial resources, facilitating exposure to higher society and sophisticated cultural pursuits. She began using the surname Hudnut.

Winnifred (now Hudnut) received a privileged education, likely including private tutoring and possibly boarding school. Her artistic talents became increasingly apparent during this period, leading her to pursue dance and design.

Before adopting the name Natacha Rambova, Winifred began her career as a dancer in New York. She performed in various dance companies, including the Russian Ballet, absorbing the stylistic influences of Russian and European modernism. Her stage name at this point was still evolving.