 Katarina was born in London to Prince Tomislav of Yugoslavia, second son of Alexander I, King of Yugoslavia, and his first wife, Princess Margarita of Baden, the only daughter of Berthold, Margrave of Baden.Her father's dynasty having been deposed and banished from Yugoslavia after World War II, she grew up in exile, largely in England.She has one brother, Prince Nicholas of Yugoslavia, and two half-brothers, Prince George and Prince Michael.