Steen was born on 3 November 1964 in Frederiksberg, Denmark, the daughter of musician and conductor  and the actress Avi Sagild. She is the sister of musician and actor . Steen applied to the Acting School of Odense Theatre 13 times before being accepted and attending from 1988 to 1992.
Steen was born on 3 November 1964 in Frederiksberg, Denmark, the daughter of musician and conductor  and the actress Avi Sagild. She is the sister of musician and actor . Steen applied to the Acting School of Odense Theatre 13 times before being accepted and attending from 1988 to 1992.