We present an initial design study for LDMX, the Light Dark Matter Experiment, a small-scale accelerator experiment having broad sensitivity to both direct dark matter and mediator particle production in the sub-GeV mass region. LDMX employs missing momentum and energy techniques in multi-GeV electro-nuclear fixed-target collisions to explore couplings to electrons in uncharted regions that extend down to and below levels that are motivated by direct thermal freeze-out mechanisms. LDMX would also be sensitive to a wide range of visibly and invisibly decaying dark sector particles, thereby addressing many of the science drivers highlighted in the 2017 US Cosmic Visions New Ideas in Dark Matter Community Report. LDMX would achieve the required sensitivity by leveraging existing and developing detector technologies from the CMS, HPS and Mu2e experiments. In this paper, we present our initial design concept, detailed GEANT-based studies of detector performance, signal and background processes, and a preliminary analysis approach. We demonstrate how a first phase of LDMX could expand sensitivity to a variety of light dark matter, mediator, and millicharge particles by several orders of magnitude in coupling over the broad sub-GeV mass range.