Fehr was born in Seattle, Washington and grew up in the state of Washington. As a teenager, Fehr won the Washington State Junior and PGA National Junior tournaments in 1979. He attended Brigham Young University in Provo, Utah and was a member of the golf team. He was a two-time All-American while at BYU and won numerous amateur tournaments, including the 1982 Western Amateur. He was the low amateur at both the Masters Tournament and the U.S. Open in 1984. Fehr turned professional in 1984 after earning his degree in finance; he joined the PGA Tour in 1985.