Conn lahir di [[London Borough of Barnet|Barnet]], utara London dari orangtuaorang tua [[Inggris-India]]. Ia berdarah campuran, yang meliputi Portugis, Burma dan India.<ref>{{cite news|last1=Hahn|first1=Katie|title='Terra Nova' next stop on Conn's acting journey|url=https://variety.com/2011/tv/news/terra-nova-next-stop-on-conn-s-acting-journey-1118042120/|accessdate=25 August 2014|work=[[Variety (magazine)|Variety]]|date=9 September 2011}}</ref><ref>{{Cite web|url=http://www.freebmd.org.uk/cgi/information.pl?cite=D%2FsFaLuVbGINKdhbxJxekQ&scan=1|title=Index entry|accessdate=12 March 2017|work=FreeBMD|publisher=ONS}}</ref> Ia masuk [[Queen Mary's College, Basingstoke|Queen Mary's College]] di [[Basingstoke]] dan [[Webber Douglas Academy of Dramatic Art]].<ref>{{cite web|title=What Shelley Conn has to say about QMC|url=http://www.destinationbasingstoke.co.uk/?page=StaticPage-1363|website=Destination Basingstoke|accessdate=25 August 2014}}</ref>
