Sudrow was born and raised in Los Angeles, California.
Her father, Lyle Sudrow, was the original star of the Guiding Light soap opera, in New York, both in radio and on live television for a total of eleven years. He played 'Bill Bauer' on the show, as well as performing in hundreds of radio shows also in New York in the 1940s and 50s.
Her mother, born of Swedish nobility, was a professional dancer also in the 50s in New York who headlined at the Copacabana for several years and was also a June Taylor dancer on the Jackie Gleason Show.
Following in her mother's foot-steps, Penelope started dancing at age three, and made her stage debut at the Hollywood Bowl at the age of five, headlining as 'Twiggy' in a Musical Review of the '20's for A.N.T.A., a performing arts school for children in Studio City.
She did her first commercial, for Oscar Myer Wiener, at age six. At ten, she was asked to join the Danny Daniels Dance America Tap company. As the only child member of the group and their featured soloist, she toured the Western United States with the Co. in 1976 at the age of 10.
This was followed by performances on many television variety shows in the 70s, including The Rich Little Show, Shields & Yarnell, The John Denver Show, and The Gene Kelly Special, "An American In Pasadena".
Sudrow continued to work in television and film until the early 1990s.