He was the son of Rafael Belaunde Diez Canseco and Lucila Terry García.
His father was Minister of Government and President of the Council of Ministers in the government of José Luis Bustamante y Rivero (1945–46); his grandfather Mariano A. Belaunde de la Torre was Minister of Finance in the government of Eduardo López de Romaña (1899–1900); his great-grandfather, General Pedro Diez Canseco Corbacho, was interim president on three occasions (1863, 1865 and 1868); and his uncle Víctor Andrés Belaúnde Diez Canseco was a prominent intellectual and diplomat, who became President of the UN General Assembly in 1959, and Minister of Foreign Relations of Peru in 1957.
He studied at different schools in France, the United States, Mexico and Chile.
He finished high school at the Colegio Sagrados Corazones Recoleta.
He entered the Pontifical Catholic University of Peru, where he studied law.