Amenábar was born in Santiago, Chile, to a Chilean father, Hugo Ricardo Amenábar and a Spanish mother, Josefina Cantos. He has both Chilean and Spanish citizenship. His father worked as a technician at General Electric, while his mother decided to stay at home and take care of the children. Alejandro is the younger of two brothers; his older brother, Ricardo, was born in 1969.
Josefina's older sister had moved to the capital of Chile, Santiago, and she invited Josefina to join her there. In Santiago, Josefina met Hugo. Alejandro was born there in 1972.
In August 1973, his family moved to Spain. The family settled in Madrid, living in a camping caravan. When Alejandro was six years old, they moved to a complex on the outskirts of the town of Paracuellos de Jarama (Madrid).

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