A native of Louisville, Kentucky (USA), she began her dance training with local teacher, Virginia Wooton at the age of three. After performing as a mouse in The Nutcracker with the Louisville Ballet she joined Louisville Ballet Academy where she started formal training. In 1981, she received a scholarship to the summer course at the School of American Ballet (SAB), the official school of New York City Ballet, joining as a full-time student a year later.
Whelan is particularly known for her angular body and muscularity particularly suited to the Balanchine style. However, with Balanchine's death in 1983, a year after Whelan arrived at SAB, she only met him once.