After growing up in Stamford, Connecticut, she attended Phillips Academy in Andover, Massachusetts, for her senior year and was a member of the school's first co-educational class, which included jazz composer Bill Cunliffe, software executive Peter Currie, artist Julian Hatton, poet Karl Kirchwey, writer Nate Lee, editor Sara Nelson, restaurateur Priscilla Martel and sculptor Gar Waterman. Then-senior Delany wrote an op-ed in 1974 about her experience of being a one-year student during the school's first year of co-education. "Andover was the best time of my life," she recalled. She played the lead role of Nellie Forbush in the school's spring musical production of South Pacific opposite Peter Kapetan as Emile. She commented: "It was just a little awkward to be Nellie at first because she hesitates to marry Emile since he had once lived with a Polynesian woman – I don't agree with her reasoning so that made things a bit hard at the beginning. " She appeared in a student video directed by classmate Jonathan Meath in a film class taught by Steve Marx. She graduated in 1974 with the academic honor of "cum laude" which was awarded to 80 out of 378 graduating seniors. She majored in theater at Wesleyan University, worked in summer stock productions during vacations, and graduated in 1978. Later, in an interview, she reported that she sometimes had eating disorders during this time of her life. She said: "I binged. . . I starved . . . I was one step from anorexia – a piece of toast and an apple would be all I would eat in a day. "