Montgomery was born in Sydney, New South Wales, Australia to Nicola (née Montgomery), an executive and market researcher, and Phil Donahue, a restaurateur. Her parents named her and her four sisters, Rosie Thorn, Daisy Yellow, Lily Belle, and Marigold Sun, after flowers, and her brother, Jethro Tull, after the rock band. Montgomery dropped out of school at the age of 15 to pursue stage acting and to travel around Bali with her boyfriend.
Montgomery emigrated to the United States at the age of 18, arriving in Florida to meet a boyfriend whom she had met when he was an exchange student. After five days, she realized that she couldn't stand him and took a bus to Los Angeles to pursue an acting career.