Small was born in the Drumchapel district of Glasgow in 1967, the eldest of five children. She attended Kinghorn Primary School where she was the Kinghorn Gala Queen in her final year. She then attended Balwearie High School in Kirkcaldy, though she did not take part in any of the school musicals because she was too shy.Small went on to complete a drama course at what is now Adam Smith College in Kirkcaldy, whose graduates include actors Ewan McGregor and Dougray Scott. After moving to London, Small studied drama at the Mountview Academy of Theatre Arts, where she graduated in 1989.