Born into a well-established family in upstate New York, Sage’s parents divorced when she was young, and she spent much of her childhood traveling in Europe with her mother. In 1920, she attended art school in Italy where she married Prince Ranieri di San Faustino, though a life of royal obligations left no time for her to paint. Through meeting and encouragement of American poet Ezra Pound and German sculptor Heinz Henghes, she began painting again and this time in abstraction.

In 1937, after divorcing, Sage moved to Paris and became involved with the European Surrealists. She formed "The Society for Preservation of European Culture" to organize exhibitions in the U.S. in her goal to secure safe passage for artists to New York during World War II. She met Yves Tanguy in 1938 and was greatly affected by his work; they would later marry in Reno in 1940 and settle in Woodbury, CT.

Sage's first solo show took place at the Pierre Matisse Gallery in 1940. Notably she was included in the First Papers of Surrealism exhibition in New York in 1942, and in the 1940s she also exhibited at Peggy Guggenheim’s Art of This Century gallery and the Julien Levy Gallery. Her unique style combined architectural forms, complex scaffolding and post-apocalyptic structures against backgrounds of vast and endless horizons. In addition she depicted biomorphic forms composed of drapery juxtaposed with geometric figurations, sharply contrasting darkness and light and evoking feelings of intense stillness and mystery. Kay Sage died in 1963.