Margulies was born in Spring Valley, New York, the youngest of three daughters. Her mother, Francesca (née Goldberg, later Gardner), was a ballet dancer and eurythmy teacher; her father, Paul Margulies, was a writer, philosopher, and Madison Avenue advertising executive. Her parents were both Jewish, descended from Jewish immigrants from Romania, Austria, Hungary, and Russia. Her mother converted to Christianity when the children were young, though Margulies still identifies herself as Jewish. The Margulies family lived in Israel for a period of time before Julianna's birth, then moved back to the Upper West Side of New York City.