Sau Lan Wu was born in occupied Hong Kong during World War II. Her mother was the sixth concubine to a wealthy businessman who abandoned them and her younger brother when Wu was a child. She grew up in abject poverty, sleeping alone in a space behind a rice shop. Her mother was illiterate, but she urged her daughter to pursue an education and become independent of volatile men.
Wu graduated from a government school in Hong Kong and applied to 50 universities in the United States. She received a scholarship to attend Vassar College and arrived with $40 to her name.