 Sarah Cockburn was born in Cheltenham, Gloucestershire, the daughter of Claud Cockburn, the left-wing journalist, and Jean Ross, who was the model for Christopher Isherwood's Sally Bowles character of "Cabaret" fame.Caudwell's three half-brothers Alexander Cockburn, Andrew Cockburn, and Patrick Cockburn are also journalists.She was the half-sister-in-law of Leslie Cockburn and of Michael Flanders.