She received a scholarship to attend Vassar College, where she majored in history. She wrote her senior thesis on Karl Marx and Alexis de Tocqueville, won several fellowships, and received her BA, with distinction, in 1970. McCaughey went on to graduate school at Columbia University in New York City, earning her MA in 1972 and her PhD in constitutional history in 1976. She won Columbia's Bancroft Dissertation Award in American History in 1976 and her dissertation was published by the prestigious Columbia University Press in 1980, "From Loyalist to Founding Father: The Political Odyssey of William Samuel Johnson:'. She also contributed a chapter about Johnson to the 1979 book "The American Revolution: Changing Perspectives" by William M. Fowler and Wallace Coyle. While completing her PhD, McCaughey trained in the corporate banking department at Chase Manhattan Bank, and she served as a loan officer in the Food, Beverage, and Tobacco Division. She also took courses in accounting at Columbia's School of Business. McCaughey's father died in 1970 at the age of 60. Her mother, an alcoholic, died the next year of liver disease at the age of 42. In 1972, she married Thomas K. McCaughey, a Yale College graduate she had met in college. He was then moving up as an investment banker. The McCaugheys separated in 1992 and divorced in 1994, with McCaughey and her ex-spouse sharing joint custody of their three daughters. In January 1993, she filed an affidavit in her divorce proceeding in which she said she had no annual earnings from employment during most of the 18 years of her marriage to Thomas, and she had never earned more than $20,000 per year except in 1990, when she "sold an idea to Fox television for a windfall once-in-a-lifetime sum of $75,000." She married wealthy investment banker and prominent Democratic Party fundraiser Wilbur Ross, Jr. in December 1995. He filed for divorce in November 1998. McCaughey taught history as a visiting assistant professor at Vassar College in 1977–1978 and was a lecturer in 1979–1980. She was an assistant professor at between 1981 and 1983, teaching two classes per year, both at Columbia University Between 1983 and 1984, she had a National Endowment for the Humanities postdoctoral fellowship. From 1986 to 1988, she served as a guest curator at the New-York Historical Society and was responsible for the museum's exhibit commemorating the bicentennial of the US Constitution.