Sidney was born in The Bronx, New York on August 8, 1910 to Russian-Jewish immigrant parents. Sidney was married to writer Bennett Cerf from 1935 until they divorced in 1936. She married actor-director Luther Adler in 1938. The couple had a son named Jacob (1939–1987), and divorced in 1946. She was married to Carlton Alsop from 1947 until they divorced in 1951.