Sampaio was born in Lisbon on 18 September 1939. The Sampaio family lived abroad in the United States and the United Kingdom for some years, due to the professional activity of his father Arnaldo de Sampaio (1908–1984), a physician. His mother was Fernanda Bensaúde Branco (1908 – 15 February 2000). His maternal grandmother Sara Bensliman Bensaúde, who died in 1976, was a Sephardi Jew from Morocco of Portuguese origin, and his maternal grandfather Fernando Branco (1880–1940) was a naval officer of the Portuguese Navy and later the Foreign Minister of Portugal. Sampaio himself is agnostic, and does not consider himself a Jew. His brother is the teenage-psychiatrist and writer .