Miller was born in Roxbury, Connecticut, to Arthur Miller, a notable playwright, and Austrian-born Inge Morath, a photographer. Her younger brother, Daniel, was born in 1966. Her father was Jewish, and her mother was Protestant. For a time during childhood, Miller practiced Catholicism on her own accord. She has said that she stopped thinking of herself as a Christian "somewhere at the end of college". Miller remembered her childhood in Roxbury as being surrounded by artists. Sculptor Alexander Calder was a neighbor; so were choreographer Martha Clarke and members of the experimental dance troupe Pilobolus. Immersed in drawing, Miller was tutored by another neighbor, sculptor Philip Grausman.