Shue was born in Wilmington, Delaware, the daughter of Anne Brewster (née Wells; b. 1938), and James William Shue (1936–2013), a one-time congressional candidate, lawyer, and real estate developer, who was president of the International Food and Beverage Corporation. Her mother was a vice president in the private banking division of the Chemical Banking Corporation. Shue grew up in South Orange, New Jersey. Her parents divorced when she was nine. Shue\'s mother is a descendant of Pilgrim leader William Brewster, while her father\'s family emigrated from Germany to Pennsylvania in the early 19th century. Shue was raised with her three brothers (William, Andrew and John) and was very close to them. Her younger brother, Andrew, is also an actor, best known for his role as Billy Campbell in the Fox series Melrose Place. Shue graduated from Columbia High School, in Maplewood, New Jersey, where she and Andrew were inducted into the school\'s Hall of Fame in 1994. She has two half-siblings from her father\'s remarriage, Jenna and Harvey Shue.

Shue attended Wellesley College and, in her junior year, was inspired by a friend to work in television commercials as a way to pay for college. She transferred to Harvard University in 1985, from which she withdrew to pursue her acting career one semester short of earning her degree.

In 1988, the year she left Harvard, her older brother Will died tragically during a family vacation.

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