Dunham was born in New York City. Her father, Carroll Dunham, is a painter, and her mother, Laurie Simmons, is an artist and photographer, and a member of The Pictures Generation, known for her use of dolls and dollhouse furniture in her photographs of setup interior scenes. Her father is Protestant and of mostly English ancestry, and her mother is Jewish; Dunham has described herself as feeling "very culturally Jewish, although that's the biggest cliche for a Jewish woman to say." The Dunham family are cousins of the Tiffany family, prominent in the jewelry trade.

Dunham had a career breakthrough with her semiautobiographic 2010 feature film Tiny Furniture; the film won Best Narrative Feature at South by Southwest Music and Media Conference, and subsequently screened at such festivals as Maryland Film Festival. Dunham plays the lead role of Aura. Laurie Simmons (Lena Dunham's real-life mother) plays Aura's mother, and Lena's real-life sister Grace plays Aura's on-screen sister. For her work on Tiny Furniture, Dunham also won an Independent Spirit Award for Best First Screenplay. The success of Tiny Furniture earned Dunham a blind script deal at HBO. The network set Dunham up with veteran show runner Jennifer Konner. Konner told Vulture's Jada Yuan that she got involved with Dunham because she was an obsessive Tiny Furniture fan:  I got a copy of Tiny Furniture from [HBO president] Sue Naegle. Actually, [New Girl creator] Liz Meriwether told me about it and said, 'Oh, there's this great movie. This girl, she's 23, she wrote, directed, and starred in it; she's in her underwear the whole time.' And I was like, 'I really don't want to see that.' And then she was like, 'Oh, trust me, it's great.' So Sue gave it to me just because she had it...I used to, like, give out copies of the movie. But I'd just broken up with my writing partner and couldn't be less interested in the idea of supervising anybody. I really was like, "I'm going to find my voice, and be on my own." And then they called me and they were like, 'Oh, the Tiny Furniture girl is doing a show, do you want to supervise her?' And I was like, 'Yes! One million percent. Sign me up. Totally on board.'  Dunham's star was also raised considerably when she was profiled by David Carr in The New York Times; he was later credited with introducing her to Judd Apatow. Apatow watched Tiny Furniture, and was surprised Dunham had also written and directed the film. "I emailed her and told her I thought it was great," Apatow told The Hollywood Reporter. "It turned out she was in the middle of negotiating a deal to develop a show for HBO and that her partner was Jenni Konner, whom I had worked with on Undeclared and a bunch of other projects. They asked me if I wanted to be a part of it, and I was thrilled to jump in."

Did she do any work on hbo?