Bamford was born in Port Hueneme, California, at the Naval Base. Her parents are Joel, a dermatologist, and Marilyn, a therapist from Duluth, Minnesota. She attended Chester Park Elementary and Marshall High School in Duluth, Minnesota, and went on to attend Bates College in Lewiston, Maine, the University of Edinburgh in Scotland, and the University of Minnesota in Minneapolis. She started stand-up in Minneapolis at the age of nineteen at Stevie Ray's Comedy Cabaret and ten years later made her first appearance on The Tonight Show.