O'Grady was born in Boston to Jamaican parents, who helped establish St. Cyprian's, the first West Indian Episcopal church in Boston. Drawn to the form and aesthetics of the "high church" of nearby St. John's of Roxbury Crossing, O'Grady recalls: "I was permanently formed by the aesthetics of that experience, of the rituals, which are a more stately and elegant version of Roman Catholicism. I did "believe" until my mid-twenties, until my sister died, then I stopped believing." In 1955, O'Grady graduated from Wellesley College, where she majored in economics and minored in Spanish literature. She was honored with a Wellesley College Alumnae Achievement Award in 2017. O'Grady pursued a master's degree in fiction from the University of Iowa Writers' Workshop before becoming an artist in 1980. Prior to becoming an artist O'Grady worked in many other professions, from a translator, a critic and an intelligence analyst for the American Government.