Ann-Margret was born into a tightly knit family in a small fishing village near the Arctic Circle. Her parents, Gustav and Anna, migrated to America after World War II, and settled in the Chicago suburb of Fox Lake. The Olsson's eventually relocated to Wilmette, Illinois, where they lived in the funeral parlor that employed Anna.

Ann-Margret was an introverted child, who found it difficult adjusting to American culture. In her early years, she used her love for song and dance as a means of expressing herself. She began to sing at weddings, private parties, and church socials. By the time she was 14, she had appeared in a number of school revues and drama productions, and was a frequent winner at local talent contests.