Wheldon was born in Emberton, near Olney, Buckinghamshire, England. He started go-kart racing at the age of four. At the beginning of his career in open wheel racing, he had a rivalry with Jenson Button before he left the United Kingdom to start racing in the United States. He moved to the U.S. because he thought the chance for success there were greater than in the UK. He moved to the United States in 1999. He spent many years racing in lower open-wheeled circuits like the U.S. F2000 Championship Series, the Toyota Atlantic series and the Indy Lights series before moving to a higher series.