Shah was born in London and raised in Kent, England. She was educated at Bryanston School and read Arabic and Persian at the School of Oriental and African Studies, University of London, graduating in 1986. Her father was the late Idries Shah, an Afghan writer of books on Sufism. Part of his family was originally from Paghman, Afghanistan. Her mother is half-Parsee and half-English. The author Tahir Shah is her brother. and she also has a sister, Tahir's twin, Safia Shah.

Her first trip to Afghanistan was when she was 21 years old. She worked for 3 years in Peshawar as a reporter covering the Soviet invasion of Afghanistan. She has also worked as a journalist for Channel 4 News, which she left in 2001.

She married and divorced (after 5 years) a Swiss reporter, whom she met in Peshawar.

Shah worked with James Miller on several projects including the films Beneath the Veil (2001), Unholy War (2001), both Channel 4 Dispatches films for the UK documentary company Hardcash Productions (www.hardcashproductions.com), and Death in Gaza (2004), for their own TV company Frostbite Films. She won a Current Affairs BAFTA for Death in Gaza. She also appeared on the television programme Breakfast with Frost on 10 August 2003.

She currently lives between London and France.