Kai Chresten Winding was born on May 18, 1922, in Aarhus, Denmark. His father, Ove Winding, was a naturalized American citizen, so Kai, his mother Jenny and his two sisters, Ann and Alice, were already U.S. citizens when Jenny brought the children to the United States in September 1934. He grew up in New York City, graduated from Stuyvesant High School in 1940, and began his professional career that year with Shorty Allen's band. He then worked with the bandleaders Sonny Dunham and Alvino Rey before joining the U.S. Coast Guard, where he played in a service band during World War II.

After the war Winding settled into the New York bebop scene and played in Benny Goodman's orchestra before becoming one of the featured soloists with Stan Kenton's band in 1946 and 1947. His own group, Kai's Krazy Kats, recorded "Loaded" and "Sweet Miss" in the mid-1940s. He worked with the composer and pianist Tadd Dameron in 1948 and 1949, and on January 21, 1949, he played trombone on "Move," "Jeru," "Budo" and "Godchild," four of the sides that became Miles Davis's Birth of the Cool for Capitol; J.J. Johnson played the nonet's other trombone parts. On September 18, 1953, a jazz workshop at New York's Putnam Central Club paired Winding and Johnson with trombonists Bennie Green and Willie Dennis and a rhythm section of John Lewis, Charles Mingus and Art Taylor, and it set the stage for the partnership that made his name.

In August 1954 the producer Ozzie Cadena brought Winding and Johnson together as a quintet. Billed as Jay and Kai, the all-trombone front line recorded for Savoy (Jay & Kai, 1954), then for Bethlehem and Columbia (K + J.J. and Trombone for Two, 1955). In 1956 they enlarged the band to a trombone octet with trombonium for Jay & Kai + 6 and shared a bill with Dave Brubeck at that summer's Newport Jazz Festival, documented on a Columbia album. The quintet split in August 1956 so that each could lead his own group, and the two reunited for records and concerts for the rest of Winding's life.

From the late 1950s Winding led a septet built around four trombones and a rhythm section, recording for Columbia (The Trombone Sound, Trombone Panorama, The Swingin' States, Dance to the City Beat) and for Impulse!, which released The Incredible Kai Winding Trombones and The Great Kai & J.J. in 1961. The latter reunited him with Johnson and added pianist Bill Evans, with bassist Paul Chambers and drummer Roy Haynes on four of its eleven tracks. He became musical director of the Playboy Clubs around 1961, and from 1961 he recorded for Verve under the producer Creed Taylor. His 1963 single of "More," the theme from the Italian documentary Mondo Cane, arranged and conducted by Claus Ogerman, peaked at number eight on the Billboard Hot 100 and number two on the Easy Listening chart; it was his only entry on the Hot 100. Verve retitled the album Soul Surfin' as !!!More!!! to match, and Winding followed it with a string of albums on the label through 1967, including Mondo Cane #2, Modern Country, Dirty Dog, More Brass and Penny Lane & Time. His 1963 single "Time Is on My Side" was the first recording of the song that Irma Thomas and the Rolling Stones later made famous. In 1968 and 1969 he and Johnson made Israel and Betwixt & Between for A&M/CTI, and a third album, Stonebone, appeared in Japan.

In 1971 and 1972 Winding toured and recorded with the Giants of Jazz, an all-star sextet with Dizzy Gillespie, Sonny Stitt, Thelonious Monk, bassist Al McKibbon and Art Blakey. In his last years he made Danish Blue and Caravan, recorded Lionel Hampton Presents Kai Winding (1977), co-led Duo "Bones" (1979) with the Italian trombonist Dino Piana, made Giant Bones '80 with Curtis Fuller, and took part in the 1981 MPS date Trombone Summit with Albert Mangelsdorff, Bill Watrous and Jiggs Whigham. Mel Bay Publications issued his method Mr. Trombone: The Kai Winding Method of Jazz Trombone Improvisation in 1979 and a book of solos in 1981. He reunited with Johnson for the Aurex Jazz Festival in Japan and the Kool Jazz Festival in New York in 1982. Winding passed away in Yonkers, New York, on May 6, 1983, at age 60. His son Jai Winding became a keyboardist and session musician in Los Angeles.

AllMusic's Scott Yanow calls Winding one of the finest trombonists of the bebop era and one of the first to absorb bop on the instrument, always somewhat overshadowed by J.J. Johnson, whose tone and phrasing his own closely matched in the mid-1950s. His year with Stan Kenton's orchestra is credited with changing how the band's trombone section phrased, and his playing on the Capitol nonet recordings helped widen the brass sound of the cool-jazz movement. Beyond the duo with Johnson, he was a restless ensemble thinker who built bands of four, six and eight trombones, used the trombonium, wrote and arranged much of what he and Johnson recorded, and in the 1960s moved easily between hard bop, bossa nova, country, soul and film-theme instrumentals for Verve. His hit "More" is also remembered for the electronic ondioline carrying its melody, which Winding was credited with playing although the session guitarist Vinnie Bell said it was Jean-Jacques Perrey. His influence on younger trombonists lives on through his method books and the International Trombone Association's Kai Winding Jazz Trombone Ensemble Competition, which the University of Illinois Jazz Trombone Ensemble, founded by Jim Pugh, won in 2012 and 2017. The arranger Don Sebesky began his career in Winding's trombone section.