Fiennes never married and in 1691 she moved to London, where she had a married sister. She travelled around England on horseback between 1684 and c.1703, "to regain my health by variety and change of aire and exercise" (Journeys). At this time the idea of travel for its own sake was still quite novel, and Fiennes was exceptional as an enthusiastic woman traveller. Sometimes she travelled with relatives, but she made her "Great Journey to Newcastle and Cornwall" of 1698 accompanied only by one or two servants. Her travels continued intermittently until at least 1712 and took her to every county in England.

She had worked up her notes into a travel memoir in 1702, which she never published, intending it for family reading. It provides a vivid portrait of a still largely unenclosed countryside before enclosures with few and primitive roads.

Robert Southey published extracts in 1812, and the first complete edition appeared in 1888 under the title Through England on a Side Saddle. A scholarly edition entitled The Journeys of Celia Fiennes was produced by Christopher Morris in 1947, and the book has been constantly in print in a variety of editions.

Fiennes was interested in anything new, in innovations, bustling towns, the newly fashionable spa towns such as Bath and Harrogate, and in commerce. Fiennes's patriotic justification for domestic tourism and her interest in the "production and manufactures of each place" anticipated the genre of 'economic tourism' which became formalized with Daniel Defoe's professional and survey-like A Tour through the Whole Island of Great Britain (1724-26). The economic tourist would become a staple of travel writing throughout the 18th and 19th centuries.

She saw many of the finest baroque country houses in England while they were still under construction. Contrary to the widespread conception that country house and mansion visiting began after World War II, English country houses have been accessible to travellers of good social standing since Fiennes' time if not earlier, and her comments on the newly built houses she inspected are one of the most interesting contemporary sources of information about them. She was not a refined prose stylist but her enthusiastic, even breathless, descriptions are often memorable.

She is widely accepted as the first recorded woman to visit every county in England.