Cyril Connolly was born in Coventry, Warwickshire, the only child of Major Matthew william Kemble Connolly (1872–1947), an officer in the King's Own Yorkshire Light Infantry, by his Anglo-Irish wife, Muriel Maud Vernon, daughter of Colonel Edward Vernon (1838–1913) J.P., D.L., of Clontarf Castle, Co. Dublin. His parents had met while his father was serving in Ireland, and his father's next posting was to South Africa. Connolly's father was also a malacologist (the scientific study of the Mollusca, i.e. Snails, clams, octopus, etc.) and mineral collector of some reputation and collected many samples in Africa. Cyril Connolly's childhood days were spent with his father in South Africa, with his mother's family at Clontarf Castle, and with his paternal grandmother in Bath, Somerset, and other parts of England.

Connolly was married three times. His first wife Jean Bakewell (1910–1950) left him in 1939, moving back to the United States. She later became the wife of Laurence Vail (former husband of Peggy Guggenheim and Kay Boyle) but, following years of health problems, she died of a stroke while on a trip to Paris at the age of 39.

At Eton, after a traumatic first few terms, he settled into a comfortable routine. He won over his early tormentor Godfrey Meynell and became a popular wit. In 1919 his parents moved to The Lock House on the Basingstoke Canal at Frimley Green. At Eton, Connolly was involved in romantic intrigues and school politics, which he described in Enemies of Promise.

He established a reputation as an intellectual and earned the respect of Dadie Rylands and Denis King-Farlow. Connolly's particular circle included Denis Dannreuther, Bobbie Longden and Roger Mynors. In summer 1921, his father took him on a holiday to France, initiating Connolly's love of travel. The following winter he went with his mother to Mürren, where he became friends with Anthony Knebworth.

By this time his parents were living separate lives, his mother having established a relationship with another army officer and his father becoming an increasingly heavy drinker and absorbed in his study of slugs and Snails. In 1922, Connolly achieved academic success winning the Rosebery History Prize, and followed this up with the Brackenbury History scholarship to Balliol College, Oxford. In the spring, he visited St Cyprian's to report his achievement to his old headmaster before setting off on a trip to Spain with a school friend.

Connolly's academic career languished while his Oxford years were characterised by his travel adventures. In January 1923, he went with Urquhart and other collegers to Italy. In March, he undertook his annual visit to Spain and in September, he went on the annual trip with the college group to Urquhart's chalet in French Alps. On his return, he visited his father, now in a hotel in South Kensington, close to the Natural History Museum. At the end of the year, he went to Italy and Tunis. At Oxford, in 1924, he made a new friend Patrick Balfour, in the spring he went to Spain and in the summer of 1924, he went successively to Greece and Crete, Urquhart's chalet in the Alps and Naples. He Christmas spent with his parents in a rare get-together at the Lock House in Hampshire and at the beginning of 1925, he went with the college group to Minehead with Urquhart.

Connolly left Balliol in 1925 with a third class degree in history. He struggled to find employment, while his friends and family sought to pay off his extensive debts. In summer he went for his annual stay at "Sligger" Urquhart's chalet in the French Alps, and in the autumn went to Spain and Portugal. He obtained a post tutoring a boy in Jamaica and set sail for the Caribbean in November 1925. He returned to England in April 1926 on a Banana boat in the company of Alwyn Williams, headmaster of Winchester College. He enrolled as a special constable in the General Strike, but it was over before he was actively involved. He responded to an advertisement to work as a secretary for Montague Summers but was warned off by his friends. Then in June 1926 he found a post as a secretary/companion to Logan Pearsall Smith. Pearsall Smith was based in Chelsea and also had a house called "Big Chilling" in Hampshire overlooking the Solent. Pearsall Smith was to give Connolly an important introduction to literary life, and he influenced his ideas on the role of a Writer with a distaste for journalism. Pearsall Smith gave Connolly £8 a week, whether he was around or not, and moreover gave him the run of "Big Chilling".

In August 1926, Connolly met Desmond MacCarthy, who had come to stay at "Big Chilling". MacCarthy was the literary Editor of the New Statesman and was to be another major influence on Connolly's development. MacCarthy invited Connolly to write book reviews for the New Statesman. Later that year, Connolly made a trip to Budapest and Eastern Europe and then spent the winter of 1926-1927 in London. Pearsall Smith took Connolly with him to Spain in the spring, and Connolly then set off on his own to North Africa and Italy. They met up again in Florence, where Kenneth Clark was working with Bernard Berenson who had married Pearsall Smith's sister.

Connolly then departed for Sicily and then returned to England via Vienna, Prague and Dresden. Connolly's first signed work in the New Statesman, a review of Lawrence Sterne, appeared in June 1927. In July he set off to Normandy with his mother and then for his last stay at the chalet in the Alps. In August 1927, he was invited to become a regular reviewer and joined the staff of the New Statesman. His first review in September was of The Hotel by Elizabeth Bowen. Also in September, Connolly moved into a flat at Yeoman's Row with Patrick Balfour. He was working on various works that never saw the light of day: a novel Green Endings, a travel book on Spain, his diary and A Partial Guide to the Balkans. He approached Cecil Beaton to draw the cover design for the last and he received an advance for the work although it was eventually lost.

Sharing a flat with Balfour, Connolly's social circle expanded with new friends like Bob Boothby and Gladwyn Jebb. However, he was ill at ease and in April 1928 set off for Paris, where he met Pearsall Smith and Cecil Beaton and visited brothels posing as a Journalist. He went on to Italy, where he stayed with Berenson and Mrs Keppel where he was taken with her daughter Violet Trefusis. Then via Venice and East European cities he made his way to Berlin to meet up with Jebb.

At the beginning of 1929, Connolly went briefly to Paris and just before returning to London, he met Jean Bakewell and stayed an extra night to get to know her. After a while, he was drawn to Paris again and, through Jean and Mara, became acquainted with the bohemian Montparnasse set, including Alfred Perles and Gregor Michonze who was to become the basis for Rascasse in The Rock Pool. He also met James Joyce about whom he wrote The Position of Joyce which appeared in Life and Letters. Connolly and Bakewell went to Spain together where they met up with Peter Quennell. Connolly then went to Berlin to stay with Nicolson until the latter managed to remove him as "not perhaps the ideal guest"

In February 1930, aged 26, Connolly and Bakewell set off for America. They married in New York on 5 April 1930. Jean Bakewell "was to prove one of the more liberating forces in his life... an uncomplicated hedonist, independent, adventurous, celebrating the moment... An attractive personality: warm, generous, witty and approachable...." She provided modest financial support that enabled him to enjoy travels, particularly around the Mediterranean, hospitality and good food and drink. The newly married couple lived in various spots in England including the Cavendish Hotel, Bury Street, Bath and Big Chilling before settling in July 1930 at Sanary, near Toulon, in France. There their close neighbours were Edith Wharton and Aldous Huxley.

Although Connolly admired Huxley, the two men failed to establish a rapport, and the wives fell out. Connolly's bohemian home with the disorder of the lemurs was shunned and with debts rising they were forced to scrounge off Jean's mother. Sometime in 1931, they left Sanary and toured Provence, Normandy, Brittany, Spain, Morocco and Majorca, before returning to Chagfor, Devon. In November, they found a flat near Belgrave Square, and Connolly made his first contribution to the New Statesman in two years.

Connolly's art critiques appeared in the magazine in 1932, and he visited Betjeman at his home at Uffington. There, he would meet Evelyn Waugh, who delighted in teasing Connolly. The Connollys enjoyed being part of a sophisticated literary social scene in London, but towards the end of the year, Jean had to undergo a gynaecological operation. As a result, she could not have a child, and it was hard for her to control her weight.

In February 1933, Connolly took Jean to Greece to recover, where they met Brian Howard. While they were in Athens there was an attempted coup d'état, which Connolly later reported in the New Statesman as "Spring Revolution". The Connollys then went with Howard and his boyfriend to Spain and the Algarve. After a row in a bar, they were incarcerated in a police cell and were sent back to England with the help of the British Embassy. In June, encouraged by Enid Bagnold, they rented a house at Rottingdean.

In 1934, Connolly was working on a trilogy: Humane Killer, The English Malady and The Rock Pool. Only The Rock Pool was completed, the others remaining only as fragments.

During the year, the Connollys went to Mallow and Cork in Ireland. At the end of the year. Connolly met Dylan Thomas at a party and early in 1935 invited him in the company of Anthony Powell, Waugh, Robert Byron and Desmond and Mollie McCarthy. By then, Connolly's father was finding himself short of funds and was no longer prepared to bail out his son.

Connolly's only novel, The Rock Pool (1936), is a satirical work describing a covey of dissolute drifters at an end of season French seaside resort, which was based on his experiences in the south of France. It was initially accepted by a London publishing house but it changed its mind. Faber and Faber was one of the publishers that rejected it and so Connolly took it to Jack Kahane, who published it in Paris in 1936.

Connolly followed it up with a book of non-fiction, Enemies of Promise (1938), the second half of which is autobiographical. In it he attempted to explain his failure to produce the literary masterpiece that he and others believed that he should have been capable of writing.

In 1940, Connolly founded the influential literary magazine Horizon, with Peter Watson, its financial backer and de facto art Editor. He edited Horizon until 1950, with Stephen Spender as an uncredited associate Editor until early 1941. He was briefly (1942–1943) the literary Editor for The Observer until a disagreement with David Astor. During World War II, he wrote The Unquiet Grave under the pseudonym 'Palinurus', a noteworthy collection of observations and quotes.

Connolly married his second wife, Barbara Skelton, in 1950. His third wife, whom he married in 1959, was Deirdre Craven, a granddaughter of James Craig, 1st Viscount Craigavon by whom he had two children later in life. After Connolly's death in 1974, she married Peter Levi.

Connolly had previously collaborated with Fleming in 1952 in writing an account of the Cambridge Spies Guy Burgess and Donald MacLean entitled The Missing Diplomats, an early publication for Fleming's Queen Anne Press.

Kenneth Tynan, writing in the March 1954 Harper's Bazaar, praised Connolly's style as 'one of the most glittering of English literary possessions.'

In 1962, Connolly wrote Bond Strikes Camp, a spoof account of Ian Fleming's character engaged in heroic escapades of dubious propriety as suggested by the title and written with Fleming's support. It appeared in the London Magazine and in an expensive limited edition printed by the Shenval Press, Frith Street, London. It later appeared in Previous Convictions.

In 1967, Connolly settled in Eastbourne, to the amusement of Beaton, who suggested he was lured back by the cakes they had enjoyed in school outings to the town. He died suddenly in 1974, having continued to the end as a Sunday Times Journalist. He died on November 26, 1974, and was buried in Berwick churchyard, Sussex.

Since 1976, Connolly's papers and personal library of over 8,000 books have been housed at the University of Tulsa.

In The Unquiet Grave Connolly writes: "Approaching forty, sense of total failure:... Never will I make that extra effort to live according to reality which alone makes good writing possible: hence the manic-depressiveness of my style,—which is either bright, cruel and superficial; or pessimistic; moth-eaten with self-pity."