Cox was born on 22 June 1974 in Batley, West Yorkshire, England, and raised in Heckmondwike. Her mother was a school secretary while her father worked in a toothpaste and hairspray factory.[6] She was educated at Heckmondwike Grammar School, a state grammar school. She then studied Social and Political Studies at Pembroke College, Cambridge from where she graduated in 1995.[7][8][9][10][11] She was the first member of her family to attend university.[7] Cox also studied at the London School of Economics.[7]