De Mille was born in Harlem, but moved with her family to Hollywood when she was still a young girl. Always very dramatic, de Mille and her sister gave piano recitals and staged drama productions for their friends, but her parents refused to let her take dancing lessons. It was widely believed in those days that dancers were slightly disreputable. She did have the opportunity to see a dance performance, however, by Anna Pavlova. The performance inspired in young Agnes the desire to become a famous dancer.

When de Mille's sister's arches in her feet fell, her doctor recommended that she take dancing lessons. Agnes convinced her parents to allow her to do the same, but recalled later that she was considered "a perfectly rotten dancer."

A professor de Mille had at UCLA told her that she was too fat to become a dancer, but commended her on her acting ability. This did not dissuade de Mille in the least. Upon graduating from UCLA, she moved to New York, where she struggled to make a living as a dancer. Her first real job came when she was hired as a dancer-choreographer in Christopher Morley's revival of a 19th-century melodrama, The Black Crook, in Hoboken.

In 1932, de Mille moved to London, where she received extensive dance training at Madame Marie Rambert's Ballet Club. Here, she studied with and was influenced by fledgling choreographers, including Fredrick Ashton and Anthony Tudor, who would join her later in her efforts to revolutionize the ballet and dance worlds. Her experience at the Ballet Club marked one of the most significant phases of her training.

Throughout the 1930s, de Mille returned to the United States to take odd jobs. She danced in her uncle's staging of Cleopatra in 1934, and she choreographed for the Leslie Howard-Norma Shearer film version of Romeo and Juliet in 1936. Most of her time, however, was spent battling poverty in London while trying to become an original choreographer.

De Mille's career made a change for the better in the late 1930s and 1940s. In 1939, she was invited to join the American Ballet Theatre's opening season. Here, she created her first ballet, Black Ritual, in 1940. This ballet became the first ever to use black dancers. In 1942, the Ballet Russe de Monte Carlo, a company that came to the United States because of World War II, invited de Mille to choreograph a ballet for their repertory. She created Rodeo, a highly energetic work with a uniquely American spirit that captured its opening night audience so much that it received 22 curtain calls. One critic called it "refreshing and as American as Mark Twain." Also in 1942, de Mille choreographed her ballet, Three Virgins and a Devil for the American Ballet Theater. The following year, she joined Rodgers and Hammerstein to create the triumphant Oklahoma!, a musical that revolutionized the art form by integrating its choreographic numbers with the plot in a way that had not been done before.

De Mille went on to choreograph some of the biggest Broadway hits in the 1940s and 1950s, such as One Touch of Venus in 1943, Carousel in 1945, Brigadoon in 1947, Gentlemen Prefer Blondes in 1949, and Paint Your Wagon in 1951. She also furthered her innovative style with Tally-Ho in 1944 and Fall River Legend, a haunting version of the Lizzie Borden axe-murder case, in 1948.

Throughout the 1950s, de Mille embarked on a variety of endeavors. In 1952, she published the first volume of her autobiography, Dance to the Piper. The following year, she founded the Agnes de Mille Theater and toured with them in 126 cities during 1953 through 1954. In 1955, she choreographed the numbers for a film version of Oklahoma! She also made her way to the world of television when she narrated and directed two hour-long programs on the dance for the "Omnibus" series the very next year. De Mille published the second volume of her autobiography, And Promenade Home and choreographed the musical, Goldilocks, both in 1958. In 1959, she supplied the dances for the musical, Juno.

During the 1960s, de Mille continued to produce many memorable ballets, including The Bitter Weird (1962), The Wind in the Mountains (1965), and The Golden Age (1967). She also found time to publish several more dance books, such as To a Young Dancer (1962), The Book of the Dance (1963), and Lizzie Borden Dance of Death (1968).

From 1973 to 1974, the tireless de Mille founded and toured with the Agnes de Mille Heritage Dance Theater. She suffered a debilitating stroke in 1975, but fought her way back to health in time to receive the Handel Medallion, New York's highest award for achievement in the arts, in 1976.

In 1979, she helped in staging a revival of Oklahoma!, and she engrossed television viewers with her lecture on the history of American dance in "Conversations About the Dance," a PBS program which included dancing by the Joffrey Ballet. She also published her tenth book, American Dances, an intriguing and vivid account of how the different varieties of dance have grown and developed in the United States. De Mille continued to be very actively involved with artistic endeavors up until her death in 1993.