Windsor was born in Philadelphia, Pennsylvania, to James and Celia Schlain, a Russian Jewish immigrant family of modest means. She was the youngest of three children. During her childhood, her family suffered as a result of the Great Depression, and her father lost both his candy-and-ice-cream store and their home above it. In school, she at times experienced anti-Semitism. Throughout school, she dated boys her age, but said later she recalls having crushes on girls.