Lydia Lopokova was born in St. Petersburg and first appeared on stage as a child. She and all her siblings became ballet dancers. She was trained at the Imperial Ballet School and joined the corps of the Maryinsky Theatre in 1909. Lopokova came to the attention of Sergei Diaghilev, who asked her to join his Ballets Russes on tour in Europe in 1910 and promoted her as a child star. The role of Columbine in the ballet Carnaval was created for her. She replaced Tamara Karsavina in the controversial ballet The Firebird in 1911 and was the original Ballerina in Petrouchka. She then left the Ballets Russes and went to dance and appear in musical comedies in the USA, where she remained for five years. She was a member of the famous Algonquin Round Table as the fiancée of sports writer Heywood Broun. However, she broke off their engagement and returned to the Ballets Russes in 1916 in London. She was popular with the public in such ballets as The Good Humoured Ladies by Massine, La Boutique fantasque, and in the roles of Princess Aurora and the Lilac Fairy in Diaghilev's sumptuous 1921 production The Sleeping Princess.
A brief union with the company's Italian business manager, Randolfo Barrocchi, resulted in divorce. In 1925, she married the British economist and author John Maynard Keynes, later Lord Keynes, with whom she founded the Arts Theatre at Cambridge. She was part of the Bloomsbury circle (some of whom resented her), became a friend of Picasso, who drew her many times, and danced as Swanilda in Coppélia for the new Vic-Wells Ballet. She left dancing for acting in the early 1930s, starring in Ibsen and Molière plays with considerable success. She then nursed her husband through illness; after his death in 1946, she retired more to private life.