Cheung was born in Hong Kong to a Chinese father and a half Chinese-half British mother. Her parents divorced when she was just a child after which she was sent to Australia to live with her aunt at the age of fourteen. She has an elder half-sister Dai Pek-Chi, two younger brothers and a younger half-brother from her father's side. 

• 大隻佬 (2003)

  
• 小白龍情海翻波 / The White Dragon (2004)

  
• 파이란 (2001)

  
• Wu Ji (2005)

  
• 杨门女将之军令如山 (2011)