Oh was born in the Ottawa suburb of Nepean, to middle-classKoreanimmigrant parents Oh Junsu (John) and Oh Young-nam, who had moved to Canada in the early 1960s. Her father is a businessman and her mother a biochemist. Oh has a brother, Ray, and a sister, Grace. She grew up in a Christian household, living on Camwood Crescent in Nepean, where she began acting and ballet at an early age. Growing up, Oh was one of the few youth of Asian descent in Nepean. At the age of 10, she played The Wizard of Woe in a class musical, The Canada Goose.
Later, at Sir Robert Borden High School, she founded the Environmental club BASE (Borden Active Students for the Environment), leading a campaign against the use of styrofoam cups. While at Sir Robert Borden High School she was Student Council President. She also played the flute and continued both her ballet training and acting studies; however, she knew that she "was not good enough to be a professional dancer" and eventually focused solely on acting. This interest led her to take drama classes, act in school plays, and join the drama club where she took part in the Canadian Improv Games and Skit Row High, a comedy group. Against her parents' advice, she rejected a four-year journalism scholarship to Carleton University to study drama at the prestigious National Theatre School of Canada in Montreal, paying her own way. She told her parents that she would try acting for a few years, and if that failed, return to school. Curiously, while studying at the National Theatre School, she portrayed a waitress in the made-for-television film, School's Out, in which her co-worker, Caitlin Ryan (Stacie Mistysyn) also considers turning down her acceptance into Carleton University's journalism program.
Soon after graduating from the National Theatre School in 1993, she starred in a London, Ontario stage production of David Mamet's Oleanna. Around the same time, she won roles in biographical TV films of two significant female Chinese-Canadians: as Vancouver author Evelyn Lau in The Diary of Evelyn Lau (Oh won the role over more than 1,000 others who auditioned); and as Adrienne Clarkson in a CBCbiopic of Clarkson's life.
Oh became even more widely known in Canada for her lead performance in the Canadian film Double Happiness, for which she won the Genie Award for Best Actress. She then went on to star in the 1997 international feature hit film Bean playing the supporting role of Bernice, the art gallery P.R. manager. Her other Canadian films include Long Life, Happiness & Prosperity and Last Night, for which she again won a Best Actress Genie.
Oh was host of the 28th Genie Awards on March 3, 2008. In 2009, Oh performed in The People Speak a documentary feature film that uses dramatic and musical performances of the letters, diaries, and speeches of everyday Americans, based on historian Howard Zinn's A People's History of the United States. During the off season hiatus from filming Grey's Anatomy in 2010, Sandra Oh took the part of Sarah Chen in the British crime drama Thorne. She took intensive dialect coaching in order to play her British character.
Oh and filmmaker Alexander Payne were in a relationship for five years. They married on January 1, 2003, separated in early 2005, and divorced in late 2006. In 2007, she began a relationship with musician Andrew Featherston. Oh is a vegan. On July 8, 2013 Sandra Oh received the key to the City of Ottawa, Ontario by Mayor Jim Watson.