Anita Belle Colton was born in Kansas City, Missouri, on October 18, 1919. The family moved to Chicago shortly after her birth, and she grew up there with her mother after her parents' final divorce; she spent childhood summers with her grandparents in Kansas City, where she first sang in church. At fourteen she left school and, with her mother's approval, joined the Depression-era walkathon circuit as a dancer, touring it for about two years. There she became "O'Day," Pig Latin for "dough," the money she hoped to win. From 1936 she worked Chicago rooms as a chorus girl, waitress and singer, among them the Celebrity Club, the Planet Mars and Kitty Davis's. In 1938 Down Beat editor Carl Cons hired her for the Off-Beat Club, and in 1939 she auditioned for Benny Goodman's band and lost the job to Helen Forrest, reportedly because she improvised too much.

Drummer Gene Krupa, who had heard her at the Off-Beat, sent for her in 1941 when his singer Irene Daye left. Between March and May of that year she recorded a dozen sides with his orchestra in New York, including "Georgia on My Mind" and "Let Me Off Uptown," the latter a vocal exchange with the band's new trumpeter Roy Eldridge that reached the pop top ten. Down Beat named her its new star of the year. She declined the gowns that other band singers wore and appeared in a band jacket and skirt, singing like a horn player rather than as decoration. She left Krupa in 1942 or 1943 (accounts differ), sang briefly with Woody Herman, and joined Stan Kenton in April 1944. Her first session with Kenton produced "And Her Tears Flowed Like Wine," a million-seller that reached number four on the pop chart. She left after about eleven months, replaced by June Christy, and returned to Krupa in the second half of 1945 for "Chickery Chick" and "Boogie Blues," both top-ten hits. Down Beat named her top band vocalist that year, and Esquire's critics chose her as an outstanding new star.

She went solo in 1947 with Bob Thiele's Signature label, cutting bebop-flavored sides such as "Ace in the Hole" and "How High the Moon." In March 1947 she and her husband, the golf professional Carl Hoff, were arrested for marijuana possession, and that summer a judge sentenced them to 90 days. Her 1951 recording of "Tennessee Waltz" for London, billed with the All Stars, was her only solo chart hit, reaching number 24. From 1952 she recorded for Norman Granz's Clef and Norgran labels. In 1953 she was arrested onstage in Long Beach, California, for heroin possession and spent several months in jail, returning to freedom in early 1954. Granz then signed her to his new Verve label, where producer Buddy Bregman arranged her first Verve album, Anita (1956), which restored her standing with jazz listeners. Thirteen Verve studio albums appeared in all through 1964, among them Pick Yourself Up with Anita O'Day, Anita Sings the Most with the Oscar Peterson quartet, Anita O'Day Sings the Winners, two sets with arranger Billy May, Cool Heat with Jimmy Giuffre's arrangements, Trav'lin' Light, a tribute to Billie Holiday, Time for 2 with vibraphonist Cal Tjader, and All the Sad Young Men with the orchestra of Gary McFarland.

Her most widely seen performance came in July 1958 at the Newport Jazz Festival, which was filmed for Bert Stern's Jazz on a Summer's Day (1959). Wearing a big hat, she took "Sweet Georgia Brown" and "Tea for Two" at speeds that startled audiences, on a program that also included Thelonious Monk, Dinah Washington and Gerry Mulligan. Through those years her working group was a trio led by the drummer John Poole, who remained her musical partner for decades. By the mid-1960s American jazz clubs were closing and her relationship with Granz had soured, so she turned to touring Japan, where she recorded live in Tokyo in December 1963. In 1966 she nearly died of a heroin overdose in Los Angeles; she then quit the drug cold turkey in Honolulu, staying at Poole's apartment. Later she recorded live at the Berlin Jazz Festival in 1970, made albums for Japanese labels, and started her own Emily Records with Poole. A new manager, Alan Eichler, took her in hand in 1976, and by 1980 she had appeared on The Tonight Show and on 60 Minutes. Her memoir High Times, Hard Times, written with George Eells, appeared in 1981, and in 1985 she marked fifty years in music with a concert at Carnegie Hall.

In a Mellow Tone (DRG, 1989) brought her first Grammy nomination, and Rules of the Road (Pablo, 1993) reunited her with Bregman. She was named an NEA Jazz Master in 1997. A fall in November 1996 and a badly treated broken arm led to pneumonia and a long recovery, but by 1999 she was performing again, including an 80th-birthday concert at the Hollywood Palladium, and she kept appearing on stage into the early 2000s. Her last album, Indestructible!, came out in 2006. She passed away on November 23, 2006, at 87, of cardiac arrest in a Los Angeles-area convalescent hospital, where she was being treated for pneumonia. The documentary Anita O'Day: The Life of a Jazz Singer premiered at the Tribeca Film Festival in 2007.

O'Day sang almost without vibrato, which she attributed to a childhood tonsillectomy that removed her uvula, and she turned the limitation into a style: she packed in extra notes, slid between pitches, and phrased and scatted like a trumpeter or drummer, with exact time at fast tempos. The critic Leonard Feather called her delivery note-breaking and horn-like, and the Guardian obituary noted that she wanted to be regarded as a musician rather than as a big-band canary. She named Mildred Bailey and Billie Holiday as models, and she in turn influenced June Christy, Chris Connor and Helen Merrill. Stan Kenton said her style could not be traced back to anyone, and the biographer Will Friedwald placed her in the company of Ella Fitzgerald, Holiday and Sarah Vaughan. At Verve she felt overshadowed by Fitzgerald, her better-selling label mate. Her repertoire ran from standards and show tunes to bebop-era numbers and the blues, and she often wrote or reshaped her own charts, as with her arrangement of "Sweet Georgia Brown."