Born in Manhattan, she grew up toward the end of a dirt road in central New Jersey. She earned a Bachelor of Arts in Art History from Princeton University in 1980, and a Master of Fine Arts degree in Photography from the Rhode Island School of Design in 1986. McPhee was awarded a Fulbright Scholars Fellowship in 1998 for work in India and Sri Lanka and a residency in Idaho from Alturas Foundation 2003-2005. She was also awarded a New England Foundation for the Arts fellowship in 1995 and a John Simon Guggenheim Memorial Foundation fellowship in 1993.