Lucy Ann Cohu was born in Wiltshire in 1968. She attended a boarding school as a child, and went on to train at the Central School of Speech and Drama. Cohu said that, despite her family's strong military background, her parents were entirely supportive of her Desire to be an Actress. Cohu lives in Kensal Green in Brent, London.

Cohu's first acting job after graduating from drama school was at the Royal Exchange Theatre in Manchester, in a production of Jane Austen's Pride and Prejudice. She made her television debut in an episode of Casualty. She went on to work extensively in television, including playing the role Major Jessica Bailey in the popular ITV show Soldier Soldier followed by many parts in British television. In 2005 she portrayed Princess Margaret in the semi-fictional version of her life, The Queen's Sister, for Channel 4, for which she was nominated for Emmy and BAFTA awards. She was widely praised for the role; for Example, Variety disliked the "somewhat tawdry biopic", but said that "Cohu makes it all worth watching". Cohu herself said she played Margaret like a proper woman with an insatiable and tremendous Energy for life: previous images in her mind had been of a bloated and sick courtier confined to a wheelchair. She hoped the production hadn't offended anyone as she really liked the Queen.

In November 2008 Cohu won an international Emmy award for Best Actress for her role in the true-life drama Forgiven.

After an eight-year hiatus from the stage, Cohu starred in a revival of Speaking in Tongues at the Duke of York's Theatre, opposite John Simm, Ian Hart and Kerry Fox. Cohu received positive reviews for this performance. In February 2010 she began a five-week run in a production of An Enemy of the People at the Crucible Theatre, starring alongside Sir Antony Sher as Katrina Stockmann, and later appeared in Arthur Miller's 'Broken Glass' at the Tricycle Theatre.