Marianthi Melitsi and Sophie Sarigiannidou were born in Thessaloniki, Greece. In 2000, they moved to Athens and founded Marsheaux in 2003 to further their appreciation of electronic pop music. In 2015, they explained to a music blog called AZLTRON the origin of the band: "We were at a Depeche Mode party in Athens 12 years ago, and the guys from Undo Records told us that we can only play Depeche Mode themes in our synths. So we decided to form a band and make a track for a compilation they were working on, called "Nu Romantics". We did a cover of Gershon Kingsley's "Popcorn", we found a name, and won the bet. We are very glad we won the bet cause if we hadn't, we would have to clean their warehouse and keep it clean for a whole year".