Duke was born in Toronto, Ontario. She went to high school with Catherine O'Hara at Burnhamthorpe Collegiate Institute in Etobicoke; they first met in home room class. In 1976 Duke joined O'Hara as part of the Toronto version of the stage comedy troupe The Second City, while also making several appearances in the troupe's television series, SCTV. Duke became a regular on SCTV from 1980–81. She joined the cast of Saturday Night Live in 1981 when O'Hara suddenly dropped out of that show.