As a child she drew and wrote as hobbies, but her first formal training in painting was at the Corcoran Art School in Washington, D.C., in 1919–1920. After she and her mother went back to Italy in 1920, she studied art in Rome for several years, learning conventional techniques and styles. She particularly enjoyed painting outdoors in the Roman Campagna with teacher Oronato Carlandi and fellow students. Much later, Sage stated that "these were the happiest days of my life", and she told friend and gallery owner Julien Levy in 1961 that her campagna experience shaped her "perspective idea of distance and going away." Nonetheless, in later years Sage usually claimed that she was self-taught perhaps because, as one of her biographers, Judith Suther, states, most of what she had learned in Rome bore so little relationship to the kind of painting she eventually did that "she "felt" as if she had studied with no one."