 Montague was born to John Montague, a Colonel in the British Army, and Mary (née O'Malley) on Guernsey, a British Crown dependency and one of the Channel Islands.After attending Blanchelande College, a local independent school for girls, she read biology at the University of Bristol, gaining a BSc.Montague's first occupation was as a stockbroker for County NatWest and then a Eurobond dealer with NatWest Capital Markets in London.