To express this, you can use the idiom born with a silver spoon in one's mouth. It means "born into wealth and privilege". For example, James doesn't know anything about working for a living; he was born with a silver spoon in his mouth.
A rich kid would also do. Rich kids are young people or young adults pampered beyond the point where they realise they are lucky; fully expectant of an idle life of luxury and not aware that some people have to work (Urban Dictionary). Note that it's about young people. If you talk about a person who is not young but has always been lucky in this way, use the idiom above.