Lasry was born in Marrakech to a family of Moroccan Jews. When he was seven years old, he and his family immigrated to the U.S. His Father, Moise, was a computer programmer and his mother, Elise, was a schoolteacher. Lasry grew up in West Hartford, Connecticut and received a B.A. in history from Clark University in 1981 and a J.D. from New York Law School in 1984. While in law school, he worked as a clerk for the Chief Bankruptcy Judge of the Southern District of New York, Edward Ryan.