She graduated from the all-girls Holton-Arms School in Bethesda, Maryland, in 1979.
Later, Julia attended Northwestern University in Evanston, Illinois, where she was a member of the Delta Gamma sorority.
She studied theatre and performed in the Mee-Ow Show, a student-run improv and sketch comedy revue, before dropping out during her junior year to take a job at Saturday Night Live. In 2007, she received an honorary doctor of arts degree from Northwestern University.
