Macpherson was born Eleanor Nancy Gow in Killara, New South Wales in 1964, the daughter of entrepreneur and sound engineer Peter Gow, a former president of a Sydney rugby league team, the Cronulla-Sutherland Sharks, and Frances Gow, a nurse.[4] Macpherson's parents divorced when she was 10 years old, and she moved with her mother and two siblings. Her mother later remarried, and a clerical mistake in registering at her new school meant that her surname was changed from Gow to Macpherson (her stepfather's surname).[5][6]
Macpherson grew up in East Lindfield, a suburb in the Sydney's North Shore, and attended Killara High School, completing her Higher School Certificate in 1981. She briefly studied law for one year at the University of Sydney. Her sister is businesswoman and environmentalist Mimi Macpherson, born Miriam Frances Gow.[7]