O’Leary grew up in the Town of Mount Royal, Quebec. His parents divorced when he was a child, largely due to his father's alcoholism. His father died shortly thereafter, when O'Leary was only 7 years old. After his father's death, his mother ran the business as an executive. His mother later married an economist, George Kanawaty, who worked with the UN's International Labour Organization. His stepfather's international assignments caused the family to move frequently, and O'Leary lived in many places while growing up, including Cambodia, Ethiopia, Tunisia, and Cyprus. O'Leary attended Stanstead College and St. George's School, both in Quebec.