Madhur was born in Delhi but when she was two years old, her family had to shift to Kanpur as her father went there to manage a Ghee factory named Ganesh Flour Mills.At the age of five, she played the role of a mouse in the play Pied Piper of Hamelin..In 1944, after living for eight years in Kanpur, Jaffrey moved back to Delhi with her family.When she was in higher school, she played the role of Titania in the play A Midsummer Nights Dream and was also a lead actor in the play Robin Hood and His Merry Men..She used to attend the plays being hosted by her elder brother`s college.Madhur used to follow Mahatma Gandhi and, she used to spin Khadi during the day. She also experienced the partition of India. Her school friends who were Muslim had split. She also saw the exchange of powers at the Rajpath. In 1948, she also attended the prayers at Birla House after Mahatma Gandhi died. She also attended Mahatma Gandhis funeral procession at Rajpath and his cremation at Rajghat.After the partition, the Punjabis who had settled in India brought different cooking styles. They introduced tandoori chicken, dal makhani and butter chicken. Madhur liked their cooking style and she used to pick up Punjabi food for her family picnics. She also used to teach chicken recipes on the BBC cooking show.She used to answer a summons for All India Radio and used to get paid for it. She considered this as her first job.While writing letters to her sisters who were in Nanital at that time, Jaffrey used the initials of their names to address each other.During her graduation in 1950, she took part in many plays in her college. In 1951, she joined Unity Theatre in Delhi that was founded by actor Saeed Jaffrey.