She spent kindergarten through her junior year of high school living in Lawrence, Kansas. She received her undergraduate degree from The Cooper Union for the Advancement of Science and Art in 1993, and a master's degree in directing from the American Film Institute's AFI Conservatory in 2000. While a student at AFI, Jenkins, an avid fan of the films of Pedro Almodóvar, made the 2001 short film "Velocity Rules", that she describes as a cross between a superhero film and Almodóvar's tone about an accident-prone housewife.