Sandy Helberg was born in Frankfurt, Germany, and grew up in Toledo, Ohio. He moved to New York where he studied acting at the Lee Strasberg Theatre Institute with John and Lee Strasberg and the Neighborhood Playhouse with Sanford Meisner. Sandy then went on to co-create the improvisational group, The Downtown Express, that played the Bitter End, the Improv, and had a home theater in Greenwich Village, where they did performed almost every night. When arriving in Los Angeles, Sandy became one of the original member of the Groundlings.