Proulx (born Edna Ann Proulx, her first name honoring one of her mother's aunts), was born in Norwich, Connecticut, to parents of English and Native American/French-Canadian ancestry. Five of her maternal forebears came to America on the Mayflower. She graduated from Deering High School in Portland, Maine, then attended Colby College "for a short period in the 1950s", where she met her first husband H. Ridgely Bullock, Jr. She later returned to college, studying at the University of Vermont from 1966 to 1969, and graduated cum laude and Phi Beta Kappa with a Bachelor of Arts in History in 1969. She got her Master of Arts from Sir George Williams University (now Concordia University) in Montreal, Quebec in 1973 and pursued, but did not complete, her Ph.D. Starting as a journalist. Her first published work of fiction is thought to be "The Customs Lounge", a science fiction story published in the September 1963 issue of If, under the byline "E.A. Proulx". Another contender, probably earlier, was a science fiction story called "All the Pretty Little Horses", which appeared in teen magazine "Seventeen" possibly a year or two before this. She subsequently published stories in Esquire magazine and Gray's Sporting Journal in the late 1970s, eventually publishing her first collection in 1988 and her first novel in 1992. Subsequently, she was awarded NEA (in 1992) and Guggenheim (in 1993) fellowships.

A few years after receiving much attention for The Shipping News, she had the following comment on her celebrity status: "It's not good for one's view of human nature, that's for sure. You begin to see, when invitations are coming from festivals and colleges to come read (for an hour for a hefty sum of money), that the institutions are head-hunting for trophy writers. Most don't particularly care about your writing or what you're trying to say. You're there as a human object, one that has won a prize. It gives you a very odd, ginger kind of sensation."

In 1997, Annie Proulx was awarded the Dos Passos Prize. Proulx has twice won the O. Henry Prize for the year's best short story. In 1998, she won for "Brokeback Mountain," which had appeared in The New Yorker on October 13, 1997. Proulx won again the following year for "The Mud Below," which appeared in The New Yorker June 22 and 29, 1999. Both appear in her 1999 collection of short stories, Wyoming Stories. The lead story in this collection, entitled "The Half-Skinned Steer," was selected by author Garrison Keillor for inclusion in The Best American Short Stories 1998, (Proulx herself edited the 1997 edition of this series) and later by novelist John Updike for inclusion in The Best American Short Stories of the Century (1999). In 2001 Proulx was one of the writers heavily criticized by Brian Reynolds Myers in his polemical work A Reader's Manifesto.

Proulx lived for more than thirty years in Vermont, has married and divorced three times, and has three sons and a daughter (named Jonathan, Gillis, Morgan, and Sylvia, a.k.a. "Muffy"). In 1994, she moved to Wyoming, where she currently resides, spending part of the year in northern Newfoundland on a small cove adjacent to L'Anse aux Meadows.

Proulx has four sisters: twins Joyce and Janet, who live in Louisana and Florida respectively; Roberta, of Fairlee, Vermont, and Jude, another writer who lives in Wales. Proulx has chosen to have little contact with any of her family over the years. In 2007, she attended a memorial for her father, George Napoleon Proulx, at which all five sisters were together for the first time in over 40 years.

Literary Awards and Prize Collections:

• 2004—Aga Khan Prize for Fiction for "The Wamsutter Wolf"
• 2002—Best Foreign Language Novels of 2002 / Best American Novel Award, Chinese Publishing Association and Peoples' Literature Publishing House (That Old Ace in the Hole)
• 2000—WILLA Literary Award, Women Writing the West
• 2000—Borders Original Voices Award in Fiction (Close Range, Wyoming Stories)
• 2000—"People in Hell Just Want a Drink of Water," Best American Short Stories 2000
• 2000—English-Speaking Union's Ambassador Book Award (Close Range, Wyoming Stories)
• 2000—The New Yorker Book Award Best Fiction 1999 (Close Range, Wyoming Stories)
• 1999—"Half-Skinned Steer" inc. Best American Short Stories of the Century, ed. J. Updike
• 1999—"The Bunchgrass Edge of the World," The Best American Short Stories 1999
• 1999—"The Mud Below," O. Henry Awards Prize Stories 1999
• 1998—"Brokeback Mountain" National Magazine Award
• 1998—"Brokeback Mountain" inc. O. Henry Awards Prize Stories 1998
• 1998—"Half-Skinned Steer" inc. Best American Short Stories 1998
• 1997—John Dos Passos Prize for Literature (for body of work)
• 1997—Shortlisted for the 1997 Orange Prize (Accordion Crimes)
• 1994—Pulitzer Prize for Fiction (The Shipping News)
• 1994—National Book Award for fiction (The Shipping News)
• 1993—Irish Times International Fiction Prize (The Shipping News)
• 1993—Chicago Tribune Heartland Prize for Fiction (The Shipping News)
• 1993—PEN/Faulkner Award for Fiction (Postcards)