Rubinstein was born in Kharkov, or possibly St. Petersburg, into a wealthy Jewish family. She was orphaned at an early age. She had, by the standard of Russian ballet, little formal training. Tutored by Mikhail Fokine, she made her debut in 1908. This was a single private performance of Oscar Wilde's "Salomé", in which she stripped nude in the course of the "Dance of the Seven Veils".