Denbo was born and raised in suburban Boston, in Swampscott, Massachusetts. She is an only child. Her mother is from Montreal, and her father is from New Jersey near Philadelphia; both parents were raised in Orthodox Jewish households. Denbo attended a Jewish day school from kindergarten to sixth grade. Several of her summers were spent at Camp Tel Noar in Hampstead, New Hampshire where she starred as Wendy in Peter Pan and appeared in several other plays. Denbo attended college at Boston University, where she participated in improvisational comedy. She also co-starred in the FX series Terriers and appeared in Spy, The Heat and Ghostbusters (2016).