Jennings grew up on a farm near Griffith, New South Wales. She attended the University of Sydney in the late 1960s, graduating with a Bachelor of Arts degree with honours. She was active in feminist and left wing-movements, in particular gaining notoriety for an incendiary speech given before a Vietnam Moratorium march in 1970 ... a speech that is credited as signaling the beginning of the second wave of feminism in Australia.
She also edited Mother I'm Rooted, a pioneer anthology of women poets which was the object of much controversy.
She moved to New York City in 1979, where she wrote for numerous magazines and newspapers, as well as doing a stint on Wall Street as a speechwriter. In 1983, she met Bob Cato, a ground-breaking graphic designer, photographer, and collagist who helped turn the record album into an important form of contemporary art. They were married in 1987; he died in March, 1999.
Her brother, Dare, was the creative force behind the Mambo clothing empire. His latest venture is Deus Ex Machina, a motorcycle and clothing business.
Her poetry and short stories were well received, but she came into her own with her novels. Her first, Snake was described variously as "lethal and fast-moving" (Publishers Weekly), "a narrative of pure anguish" (Times Literary Supplement), and "possessing a holographic shimmer" (New York Times Book Review). It was reported to have just missed the Booker Prize shortlist. Moral Hazard has been called "humane and unsparing; witty, unsettling, and wildly intelligent" by Shirley Hazzard, author of The Transit of Venus.
Jennings was awarded the Christina Stead Prize for fiction for Moral Hazard, which was also shortlisted for the 2003 Miles Franklin Award, the Los Angeles Times Fiction Prize, and the Tasmania Pacific Region Prize. Snake was a New York Times Notable Book of the Year, as was Moral Hazard.
Both books contain strong autobiographical elements, Snake being about a girl growing up on a Riverina farm in the 1950s, and Moral Hazard about a couple facing Alzheimer's in the husband while the wife works as a speechwriter on Wall Street.
In 2008, she published Stanley and Sophie, a memoir ostensibly about her dogs but also about life in New York City after 9/11, politics in the U.S. and her encounters with two macaques in Bali at the time of the 2005 bombing there.
Jennings is also known for writing outspoken essays and op-eds on the state of fiction, the direction of feminism, malfeasance in the financial industry, and the abuse of language in the business world. Andrew Field, a prominent Nabokov scholar, describes Jennings as a "ferocious truth-teller, He also cites her "humor, her obdurate individuality, and her willingness to say what other people won't."