Born in Los Angeles, Gregory took up dancing when she was five, with the encouragement of her parents, who hoped exercise would stem her history of childhood illnesses. A performance by Margot Fonteyn and Rudolph Nureyev had inspired young Cynthia to study ballet. By age six, she was "en pointe"; and at age seven, she first appeared on the cover of Dance Magazine. She would eventually go on to dance with Nureyev in a production of "Romeo and Juliet," which he had originated with Fonteyn as Juliet. He has called Gregory "America's Prima ballerina assoluta."