McCaughey and her twin brother, William, were born in Pittsburgh to Ramona Peterken, and her husband Albert, a factory janitor. The family moved around the Northeastern United States for six years before it settled down in Westport, Connecticut, where McCaughey's father did maintenance and later engineering work at a nail clipper factory. McCaughey recalled her parents' difficulty in affording medical treatment: "my brother was a serious asthmatic as a child. I remember my parents sitting at the kitchen table wondering if they could afford to take to the hospital."