Penn was born to Jay Dee Penn, an Irish American and Loraine Shin, a third generation Korean-American. At the age of seventeen, Penn began training in Brazilian Jiu-Jitsu after being introduced to it by his neighbor, Tom Callos. Callos had put up fliers in local gyms looking for people to train with, and B.J.'s father Jay Dee Penn had called Callos and said his boys were interested. Callos then taught B.J. and his brother what he knew. Shortly thereafter, B.J. moved to San Jose, California to begin training at AKA with Dave Camarillo and Bob Cooke, who he lived with and became close friends with. It was here during his time in San Jose that he decided to pursue a career in martial arts (albeit not mixed martial arts at the time).