Born in Canandaigua, New York to Laurie J. (née Johnston) and Jon J. Wiig, an artist and a lake marina manager respectively, Wiig grew up with older brother Erik, who is mentally disabled.
Wiig's family relocated to Lancaster, Pennsylvania when Wiig was three, where she enrolled at Nitrauer Elementary School. Wiig later headed to Rochester, New York, where she went on to graduate from Brighton High School. Following a brief time at Roanoke College, Wiig majored in art at the University of Arizona; upon taking an acting class to fulfill a requirement, Wiig was informed by her teacher that she ought to act. Wiig left school and moved to Los Angeles, becoming a member of The Groundlings, a comedy troupe, as she worked various jobs to pay bills.