Natasja Saad was born on 31 October 1974 in Copenhagen, Denmark to a Danish mother, Kirstine Saad, who is a photographer, and a Sudanese father, Ahmed Saad, who was a big supporter of her career. Her father moved to Denmark to study. He learned the Danish language quickly and became a Danish citizen. Saad's parents soon divorced, and her father moved back to Sudan. She also had three half-siblings: Sarah, Nadir and Saad. It is uncertain that her family members are still alive. She and her siblings grew up in Islands Brygge, a district area in Copenhagen. As a child, she had a love for nature and for horses, which led her to become a professional jockey as a young adult.