Fejér studied mathematics and physics at the University of Budapest and at the University of Berlin, where he was taught by Hermann Schwarz. In 1902 he earned his doctorate from University of Budapest (today Eötvös Loránd University). From 1902 to 1905 Fejér taught there and from 1905 until 1911 he taught at Franz Joseph University in Kolozsvár in Austria-Hungary (now Cluj-Napoca in Romania). In 1911 Fejér was appointed to the chair of mathematics at the University of Budapest and he held that post until his death. He was elected corresponding member (1908), member (1930) of the Hungarian Academy of Sciences.