Winkleman was born into a North London Jewish family, to former publisher Barry Winkleman and children's author Cindy Black. She was educated at Trinity Hall, Cambridge, where she read English literature. She toured Britain for four months in 2001 with the university's famed dramatic society Cambridge Footlights in Far Too Happy, a comic revue she co-wrote and performed in. For the first time in twenty years, the Footlights received a Perrier award nomination. Sophie is also a member of the National Youth Theatre.