Auf der Maur was born in Montreal, Quebec, to journalist and politician Nick Auf der Maur and journalist and literary translator Linda Gaboriau. Auf der Maur's father's family was Swiss-German and her mother's was mixed European-American. Gaboriau was born in Boston, Massachusetts, in the United States. As a result, she holds dual Canadian–American citizenship. Auf der Maur's surname translates to English as "on the wall", as "maur" was derived from the German word for "wall" ("die Mauer"). She has stated that her grandmother, Theresia Schaelin-Auf der Maur, was "always pounding my heritage down my throat—reminding me that I'm the last one in North America to further the name".