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After Britain declared war on Germany in September 1939, Hepburn's mother moved her daughter back to Arnhem in the hope that, as during the First World War, the Netherlands would remain neutral and be spared a German attack. While there, Hepburn attended the Arnhem Conservatory from 1939 to 1945. She had begun taking ballet lessons during her last years at boarding school, and continued training in Arnhem under the tutelage of Winja Marova, becoming her "star pupil". After the Germans invaded the Netherlands in 1940, Hepburn used the name Edda van Heemstra, because an "English-sounding" name was considered dangerous during the German occupation. Her family was profoundly affected by the occupation, with Hepburn later stating that "had we known that we were going to be occupied for five years, we might have all shot ourselves. We thought it might be over next week… six months… next year… that's how we got through"

After the war ended in 1945, Hepburn moved with her mother and siblings to Amsterdam, where she began ballet training under Sonia Gaskell, a leading figure in Dutch ballet, and Russian teacher Olga Tarasova.