Born in Paris, Bellugi is the daughter of Italian actor Duccio Bellugi-Vannuccini, while her mother is a Danish costume designer. Her sister Alba Gaïa Bellugi is also an actress, known for her role as Élise in the film The Intouchables (2011). After studying contemporary and classical dance, synchronized swimming, and playing saxophone, she left to study cinema at the Université de Montréal from 2015 to 2016. She left to pursue a degree in international relations at Roskilde University from 2016 to 2019.