Mordaunt was born on 4 March 1973 in Torquay, Devon. The daughter of a former paratrooper, one of twins, she was named after the HMS "Penelope". Her father, John Mordaunt, born at Hilsea Barracks, served in the Parachute Regiment before retraining as a teacher. Mordaunt has two brothers: James and a younger brother, Edward. Through her mother, Jennifer (née Snowden), she is a relative of Philip Snowden, the first Labour Chancellor of the Exchequer. Dame Angela Lansbury is her grandmother's cousin. Mordaunt was educated at Oaklands Roman Catholic School Academy, Waterlooville, Hampshire and studied drama at the Victoryland Theatre School.