Kay Sage was born Katherine Linn Sage in Albany, New York in 1898 to Ann and Henry Manning Sage, a state senator. After her parents divorced she lived in Europe with her mother from 1900 to 1914, spending most of that time in Italy. She returned to the United States for schooling from 1914 to 1919 and then returned to Italy where she worked for a short time at the Scuola Libera delle Belle Arti in Rome. In 1925 she married Prince Ranieri di San Faustino, but they divorced in 1935. Around this time Sage began to paint in an abstract style, and quickly developed an interest in surrealism. She had her first solo exhibition in Italy in 1936 and the next year moved to Paris where she met surrealist painter Yves Tanguy. Tanguy introduced her to other surrealist painters in Paris and she soon began exhibiting with them. During World War II, Sage returned to the United States. In 1940 she and Tanguy were married, and that same year she had her first American exhibition at the Pierre Matisse Gallery in New York City. In 1941 she and Tanguy settled in Woodbury, Connecticut and named their home "Town Farm". Sage and Tanguy continued to exhibit their work with great success, ultimately leading to a joint exhibition at the Wadsworth Atheneum in 1954.
After Yves Tanguy's death in 1955 Sage experienced extreme grief and depression for the rest of her life. She did, however, continue to exhibit at the Catherine Viviano Gallery in New York City, which also managed the sale of her paintings. This partnership culminated in a retrospective exhibition of her work in 1960. Sage started to lose her sight in the late 1950s and stopped painting and began making collages. She also wrote three volumes of poetry which were published in 1957 and 1962. The last few years of her life were spent working on a catalogue of her husband's work for which she wrote the foreword. In January 1963 Kay Sage died by suicide at the age of 64.