He lives in the Manor of Turville in Turville, Buckinghamshire. The Manor once belonged to the abbey at St Albans, but was seized by the Crown in the Dissolution of the Monasteries in 1547. The manor house has since been rebuilt as Turville Park, a fine stately home in the village.

He is the son of Sir Robert Sainsbury and Lisa van den Bergh. His elder sister was Elizabeth (married name Clark, 19 July 1938 – 14 August 1977) and his younger sisters are Celia and Annabel. He is the nephew of Lord Sainsbury. His cousins are the Conservative peer Lord Sainsbury of Preston Candover, Simon Sainsbury, and former Tory MP Sir Tim Sainsbury. His great-grandparents, John James Sainsbury and Mary Ann Staples, established a grocer's at 173 Drury Lane in 1869 which became the British supermarket chain Sainsbury's.

David Sainsbury joined the family firm, then known as 'J. Sainsbury Ltd.', in 1963, working in the personnel department. He became a Director in 1966. He was Financial Controller from 1971 to 1973, just before the company's flotation.

David Sainsbury founded the Gatsby Charitable Foundation in 1967. In 1993, he donated £200 million of Sainsbury's shares to the Foundation's assets. By 2009 the foundation had given £660 million to a range of charitable causes. In 2009, he allocated a further £465 million to the foundation, making him the first Briton to donate more than £1 billion to charity.

When the company listed on the London Stock Exchange on 12 July 1973, at the time the largest flotation ever, his family retained control with a 85% stake. His Father, Sir Robert Sainsbury, gave almost his entire stake in the company to David Sainsbury, his only son, whereas his uncle Alan Sainsbury split his stake in the Business between his sons John Davan Sainsbury, Simon Sainsbury and Tim Sainsbury. John Davan Sainsbury became chairman in 1969 on Sir Robert Sainsbury's retirement.

David Sainsbury joined the Labour Party in the 1960s, but was one of the 100 signatories of the 'Limehouse Declaration' in an advertisement in The Guardian on 5 February 1981; he went on to be a member of the Social Democratic Party formed by the authors of the Declaration. After the 1983 election Sainsbury prompted the party to give more priority to recruiting members and finding a firm financial base; he was by far the biggest donor to the party, and a trustee, giving about £750,000 between 1981 and 1987. Sainsbury's donations were typically earmarked to specific projects rather than general day-to-day operations.

He set up the Sainsbury Management Fellowship scheme in 1987 to develop UK Engineers into Leaders in industry. He was also made an honorary fellow of the Royal Society in 2008.

He was the group's Finance Director from 1973 to 1990, during which time the company grew rapidly. He was Chair of Savacentre from 1984 to 1993, during which time the hypermarkets Business grew slowly. He was deputy chairman from 1988 to 1992. On JD Sainsbury's retirement as chairman and chief executive on 2 November 1992, David Sainsbury became chairman.

He was also appointed as a Honorary Fellow of the Royal Academy of Engineering in 1994.

In 1996, Sainsbury's announced its first drop in profits in 22 years, and the first of three profits warnings during his chairmanship was issued. Although there were senior management changes, which included David relinquishing the chief executive's role to Dino Adriano and becoming non-executive chairman, there were no new Directors or outsiders appointed to the senior management team. Profits fell the next year, but rose in 1998. At this point, David Sainsbury, who had wanted to step down at the end of 1997, made a surprise announcement of his retirement as chairman to pursue his long-held ambition to have a career in politics, after "32 enjoyable and fulfilling years" working for Sainsbury's. Sainsbury's share price increased on the day of this announcement.

That party was wound up in 1990, and Sainsbury changed allegiance back to the Labour Party, rejoining them in 1996. A year later, he entered the House of Lords as a Labour peer, being created Baron Sainsbury of Turville, of Turville in the County of Buckinghamshire on 3 October 1997.

From July 1998 to November 2006, he held the post of Parliamentary Under-Secretary of State at the Department of Trade and Industry, as the Minister for Science and Innovation in the House of Lords, a government position for which he accepted no salary.

David Sainsbury has also been associated with the Institute for Public Policy Research and Progress. Between 2001 and 2011 he provided £2 million of funding for Progress. In 2009, he created the Institute for Government with £15 million of funding through the Gatsby Charitable Foundation to help government and opposition politicians to prepare for political transitions and government. Sainsbury donated £390,000 to Progress and the Movement for Change between December 2011 and April 2013, while he was not on a UK electoral register, which is contrary to electoral law, leading to Progress and the Movement for Change being fined by the Electoral Commission.

Sainsbury has donated £127 million of the Gatsby Charitable Foundation's money to Cambridge University in the last decade: he gave £45 million to the Cambridge University Botanic Garden in 2005. In 2011, Cambridge's Sainsbury Laboratory opened, paid for by an £82 million donation from the Gatsby Foundation made in 2008. It was hailed by the Financial Times as "one of the biggest donations ever made to a British university...surpassed only by a 2000 gift to the university by the Bill and Melinda Gates Foundation."

In July 2006, he became the first government minister to be questioned by police in the "Cash for Peerages" inquiry. On 10 November 2006, he resigned as Science Minister, stating that he wanted to focus on Business and charity work. He categorically denied that his resignation had anything to do with the "Cash for Peerages" affair, stating that he was "not directly involved in whether peerages were offered for cash", although this was contradicted by subsequent press reports attributed to "Labour insiders" which suggested that his resignation was indeed a direct consequence of the affair.

Between 1996, the year he rejoined Labour, and 2006, when he stood down as a government minister, Sainsbury donated £16 million to the Labour Party, usually in batches of £1 million or £2 million each year. He donated a further £2 million on 7 September 2007, stating that he was impressed by Gordon Brown's leadership and believed "that Labour is the only party which is committed to delivering both social justice and economic prosperity". He gave another £500,000 on 15 December 2008, making a total of £18.5 million. Sainsbury is associated with the Labour Friends of Israel.

David Sainsbury retains a sizeable shareholding in his family's supermarket chain (around 5.85%). To further his philanthropy interests, he placed 92million of his shares (representing 5.28% of the Company's share capital), into his investment vehicle, Innotech Advisers Ltd (which donates all its dividends to charity), meaning his beneficial stake is just 0.57% (lower than JD's 1.6% beneficial interest). The Sainsbury family as a whole control approximately 15% of Sainsbury's. In the Sunday Times Rich List 2008 his family fortune was estimated at £1.3 billion.

In 2011, Lord Sainsbury was formally proposed by the Nominations Board of Cambridge University to succeed the Duke of Edinburgh as Chancellor of the University of Cambridge. If his election had not been contested by 17 June, he would have assumed office on 1 July. However, his nomination became the first in 163 years to be contested by another candidate when, on 29 May, local shopkeeper Abdul Arain, standing against Sainsbury in protest at a planning application for a Sainsbury's Local branch in Cambridge's Mill Road district, triggered a contest that would have to wait until an October ballot. Four days later, a group of Cambridge University alumni successfully drafted actor Brian Blessed as an alternative candidate. On 20 June, socialist barrister Michael Mansfield became the third candidate to oppose Sainsbury. An election took place on 14 and 15 October 2011 which Lord Sainsbury won with 52% of the votes (2893 votes out of 5558) on a 2.5% turnout and he was confirmed to the position on 16 October 2011.

In 2013, together with his wife Susie, joined the Giving Pledge, the group started by Warren Buffett and Bill and Melinda Gates, pledging to donate half his fortune to charitable trusts during his lifetime.

Sainsbury funded the "Remain" side of the 2016 European Union membership referendum campaign, giving £2,150,000 to the Labour and £2,125,000 to the Liberal Democrats "Remain" campaigns.

After the 2017 general election Sainsbury announced he will no longer provide financial backing to party political causes, but will donate to charitable causes. During 2016 he had donated £260,000 to Progress in addition to backing "Remain" organisations.