Belfour was born in Carman, Manitoba and grew up playing ice hockey. He played junior hockey for the Winkler Flyers before going to the University of North Dakota where he helped the school win the NCAA championship in the 1986-87 season. The following year, Belfour signed as a free agent with the Chicago Blackhawks (after not being picked in the draft) splitting his time between them and the Saginaw Hawks of the International Hockey League.