Win Marilyn is out of Cosmo Cielo (Fusaichi Pegasus), an Australian-bred winner in Japan, and was the sixth of the mare's first eight named foals. The mare's six other winners include Win Malerei (Matsurida Gogh), a Group 3 winner in Japan, and the four-time winner Meine Himmel (Roses In May).

Second dam Shorwon (Buena Shore) did not race but produced ten winners from 12 foals. They are headed by the Group 3 winners in Australia Shorblue (Bluebird) and Classic Allure (Bellotto), the Listed winner Kaladan (Kala Dancer) and a daughter who produced the Listed winner Eclair Samba. Shorwon is a half-sister to Always There (Pipe Of Peace), winner of the Gr.1 Victoria Derby and a sire.

Third dam April Wonder (Newtown Wonder) was a Listed winner. She is also the grandam of the Group 2 winner Cindy's Appeal and the third dam of the Group 3 winner Queen Of Pop.

Cosmo Cielo has a colt foal by Win Bright and was covered by Epiphaneia in 2022.