Catherine was born in Stettin, Province of Pomerania, Kingdom of Prussia, as Princess Sophie Friederike Auguste von Anhalt-Zerbst-Dornburg. Her mother was Joanna Elisabeth of Holstein-Gottorp. Her father, Christian August, Prince of Anhalt-Zerbst, belonged to the ruling German family of Anhalt. In accordance with the then-prevailing custom among the ruling dynasties of Germany, she received her education chiefly from a French governess and from tutors. According to her memoirs, Sophie was regarded a tomboy and trained herself to master a sword.
Sophie found her childhood to be quite uneventful; she once wrote to her correspondent Baron Grimm, "I see nothing of interest in it". Although Sophie was born a princess, her family had very little money; her rise to power was supported by her mother Joanna's wealthy relatives, who were both nobles and royal relations. The more than 300 sovereign entities of the Holy Roman Empire, many of them quite small and powerless, made for a highly competitive political system in which the various princely families fought for advantages over one another, often by way of political marriages.
For smaller German princely families, an advantageous marriage was one of the best means of advancing their interests, and the young Sophie was groomed throughout her childhood to become the wife of a powerful ruler in order to improve the position of her house. In addition to her native German, Sophie became fluent in French, the lingua franca of European elites in the 18th century. The young Sophie received the standard education for an 18th-century German princess, concentrating on etiquette, French, and Lutheran theology.
Sophie first met her future husband and second cousin, the future Peter III of Russia, at the age of 10 in 1739. Based on her writings, she found Peter detestable upon meeting him. She disliked his pale complexion and his fondness for alcohol. She later wrote that she stayed at one end of the castle and Peter at the other.