Dmitry Sitkovetsk was born in Baku, Azerbaijan to violinist Julian Sitkovetsky and pianist Bella Davidovich. His father died in 1958, when Sitkovetsky was three years old. He grew up in Moscow. He studied there at the Moscow Conservatory. In 1977, aged twenty-two, he decided he wanted to leave the Soviet Union. To that end, he registered himself as mentally ill. His plan worked and he arrived at New York on September 11, 1977. He immediately entered the Juilliard School.