As a child, McKinnon played several instruments. She started playing the piano when she was 5 years old, the cello when she was 12, and taught herself how to play the guitar when she was 15. She graduated from North Shore High School in 2002, and from Columbia University in 2006 with a degree in theatre, where she co-founded a comedy group, Tea Party, which focused on musical improv comedy. At Columbia, she starred in three Varsity shows: V109 "Dial D for Deadline", V110 "Off-Broadway" and V111 "The Sound of Muses". She was also a member of Prangstgrüp, a student comedy group which set up and recorded elaborate college pranks.
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