Born in Lynn, Massachusetts, Feinberg grew up in Syracuse, New York. He attended the Massachusetts Institute of Technology, majoring in mathematics and studying creative writing with novelist John Hersey, graduating in 1977.He subsequently worked as a computer programmer for the Modern Language Association of America (MLA) and also pursued a Master's degree in linguistics at New York University. He completed his first novel, Calculus, in 1979, although it has never been published. Feinberg himself described the novel as "godawful", telling one interviewer that it was a novel that "only an MIT math major could have written".
In the early 1980s, he joined a gay men's writing group, eventually creating the character B. J. Rosenthal, a young gay man, much like Feinberg himself, who became the central character in virtually all of Feinberg's later writing. He contributed a humour column to the gay magazine Mandate in 1986 and 1987, which in turn led to his first book deal. The novel Eighty-Sixed was published in 1989, and won Feinberg the Lambda Literary Award for Gay Men's Fiction and the American Library Association Gay/Lesbian Award for Fiction.
Feinberg tested positive for HIV in 1987, and joined the activist organization ACT UP.He participated in ACT UP demonstrations including Stop the Church.In 1991, he published his second novel, a sequel to Eighty-Sixed entitled Spontaneous Combustion, a selection of both the Book of the Month Club and the Quality Paperback Book Club. For the next few years, Feinberg balanced writing and political activism with working full-time. Stories, articles, and reviews by him appeared in The New York Times Book Review, The Advocate, Details, OutWeek, Tribe, NYQ, QW, Out, The Body Positive, Gay Community News, Art & Understanding, The James White Review, Diseased Pariah News, Poz, and both Men on Men 2: Best New Gay Fiction and Men on Men 4.
In July 1994, however, failing health led him to take disability leave. That fall, he was admitted to St. Vincent's Hospital, where he died early in November at the age of 37. Even while hospitalized, he continued to write. His final book, a collection of essays called Queer and Loathing: Rants and Raves of a Raging AIDS Clone, was published in 1994 shortly before his death.
B. J. Rosenthal, the main character of Feinberg's first two published books and a wise-mouthed, perpetually libidinous urbanite, was something of an alter ego for his creator. "He and I aren't the same person exactly," Feinberg told New York Newsday in 1992. "I'd say he's 60 to 70 percent me. We're both gay, of course, and HIV-positive. But...I write novels, and he doesn't. And while he's more well-endowed, I'm a better lover."
Queer and Loathing, by contrast, was "as close to the truth as I can get," as Feinberg wrote in the book's introduction. The essays were his attempt "to capture what is to me a painfully obvious reality that is rarely written about: what it is like to be HIV-positive in the 90s; what it is like to outlive one therapist, two dentists, two doctors, and one gastroenterologist."
"He exemplified the best of the gay humor we use to endure impossible situations," said Ed Iwanicki, Feinberg's editor at Viking Penguin. "No one was able to find that humor in the most dire situations as well as he was."
"It was so biting and so satirical, and it had a very New York edge," said author Jameson Currier, who knew Feinberg as a fellow member of ACT UP. "He was the first to write in that style about AIDS, and he created quite a bit of controversy. He broke a lot of ground in that respect."