Born in Greenwich, Connecticut, Messud grew up in the United States, Australia, and Canada, returning to the United States as a teenager. Messud's mother is Canadian, her father of French origin (from formerly-French Algeria). She was educated at Milton Academy, Yale University, and Cambridge, where she met her spouse, the British literary critic James Wood. Messud also briefly attended the MFA program at Syracuse University.

Messud's debut novel, When The World Was Steady (1995), was nominated for the PEN/Faulkner Award. In 1999, she published her second book, The Last Life, about three generations of a French-Algerian family. Her 2001 work, The Hunters, consists of two novellas. Her most recent novel, The Emperor’s Children, was longlisted for the 2006 Man Booker Prize. Messud wrote the novel while a fellow at the Radcliffe Institute for Advanced Study in 2004-2005.

The American Academy of Arts and Letters has recognized Messud's talent with both an Addison Metcalf Award and a Strauss Living Award. She was considered for the 2003 Granta Best of Young British Novelists list, although none of the three passports she holds is British. In 2010-2011, she is a fellow at the Wissenschaftskolleg zu Berlin / Institute of Advanced Study.

Messud has taught creative writing at Kenyon College, University of Maryland, Amherst College, in the Warren Wilson College MFA Program for Writers in North Carolina, and in the Graduate Writing program at The Johns Hopkins University. She is currently the writer-in-residence at Tulane University.

Messud also taught at the The University of the South in Sewanee, Tennessee.

Each spring semester, the first in 2009, Messud will teach a literary traditions course as a part of CUNY Hunter College's MFA Program in Creative Writing.

Messud is married to the British literary critic James Wood. They live in Washington, DC and Somerville, Massachusetts with their two children.