Klebe was born in New York City to European immigrant parents. Her father is from Germany. Klebe was raised primarily in New York City but spent time in Europe with her family in Germany, France and Italy as a child and teenager. She lived in Aix-en-Provence when she was 15 for six months as an exchange student, and in Paris when she was 18 working as an intern at the film distribution firm M5.
Klebe went to high school in New York City and graduated from Dartmouth College cum laude with a major in politics and a minor in theater and film. While in college, Klebe lived in Sienna, Italy when she was 20 for a study abroad program.
She gave up being a competitive equestrian for a more complete immersion in theater in her teens. She attended the National Theater Institute at the Eugene O'Neill Theater Center in Waterford, Connecticut.

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