O'Day began performing at age five. "I lived on the stage, and even at six, slept behind the seats of the theatre," she stated in an interview. According to her mother, when O'Day was four, she was at a performance of "The Nutcracker" and started to cry. Her mother asked her what was wrong and O'Day replied, "I'm sad that I'm sitting here and not up on stage." O'Day recalls that moment as the one in which she "officially" realized her love for entertainment.