Feinstein, the daughter of a dermatologist and a nurse, was raised in Miami, Florida. Her father was born Jewish and her mother, who was Catholic, converted to Judaism. She became interested in art in elementary school and took private lessons. She also studied with her Artist grandmother. She graduated with a Bachelor of Arts from Columbia University in 1993, studying religion, philosophy and studio art. In 1993 she also studied at the Skowhegan School of Painting and Sculpture in Maine. Feinstein applied for a Master of Fine Arts from Yale University, but believes she was rejected because she wore a transparent plastic miniskirt and a T-shirt reading “I’m a Satisfier”.

In 1994 her works were shown for the first time in the Sonnabend Gallery Artist Invitational group showing. In that year she also showed at the Exit Art "Let the Artist Live" exhibit where she built a Sleeping Beauty’s gingerbread house in which she actually slept. It was there she met John Currin who is known for satirical and even pornographic studies of female figures. They married three years later on Valentine's Day. She and Currin have two sons and a daughter.

In 1999 while working as a receptionist at the Marianne Boesky gallery, Boesky saw some of her sculpture sketches and relieved her of that position so that she could show her works. This was Feinstein's first solo show. The gallery has had three showings of her work.

In 2000 Feinstein exhibited works in "Pastoral Pop" at the Whitney Museum at Philip Morris and 2000 at "The Americans" exhibition at the Barbican Centre in London. Her 2001 debut solo show was inspired by her trip to palaces in Munich and Vienna.

In 2002 Feinstein and Currin published a 24-page book of their works at the Hydra Workshop in Hydra, Greece which they titled The Honeymooners, John Currin and Rachel Feinstein. It includes an interview conducted by Sadie Coles.

In 2004 she displayed her plywood sculpture "The Crucifixion" at the Friedrich Petzel Gallery. The life-sized depiction consisted of four figures: Jesus on the cross, Mary at his feet, John the Baptist and Saint John. A reviewer remarked that rather than making a joke of the scene, as several contemporary artists had done, she had produced a work that was "startling" as well as "evocative and fresh."

In 2005 she produced a show at the Boesky Gallery featuring elderly women posed in ornate costumes and wigs. She painted them in oils on ovals of glass and had them photographed. Her inspiration for the set of pieces was Miss Havisham from Great Expectations. She told an interview that being pregnant at the time, "I guess I was thinking about mortality, feminine beauty, my fears about being a mother and an Artist." An ArtForum reviewer noted that the costume and pose of one drawing was a "nearly identical copy" of a Feinstein photograph in a Marc Jacobs advertisement from the year before and that the elderly model in fact looked much like Ms. Feinstein might look when she aged. The reviewer wrote the "(self-)portraits" felt "in line with the current vogue for noble iconography" and also described them as "celebratory caricatures, self-indulgent and vain." She also criticized the one foam and three wood sculptures from the exhibition as "merely clunky hybrids of kitschy Cubism and craft."

In 2006, Feinstein displayed her work at Le Consortium in Dijon, France. In 2007 she opened her eighth solo at the Corvi-Mora gallery in London, England.

In 2007 a steel gilded Equestrian statue she called "Cuatro" for Don Quixote became part of the Public Art Project of Anyang, South Korea. It is six meters high.

Her 2008 show "Puritan's Delight” combined pieces displaying "disparate references to art history, cultural history, and contemporary life" and "mixed Cubism, Deconstruction, Mexican crosses, furniture-making techniques, Puritan spartanism, and Viennese elegance." Notable pieces included a woman posing erotically, two dancing satyrs, a Renaissance-era avenging angel, wood sculptures of prancing horses with white pompadors painted in high-gloss enamel and a black stained collapsed wooden carriage holding a working lantern.

The Fashion Fund Award committee commissioned Feinstein to create their 2010 award. She created it in the form of a swan which she described as “a pure, elite thing.” For the ceremony she created 20 “one-of-a-kind” awards cast in bronze.

In January 2011 she opened her show “The Snow Queen" at Lever House in New York. It combines Carpenter Gothic architecture and Baroque painting to present vignettes of Hans Christian Andersen fairy tale The Snow Queen, showing Feinstein's "flair for synthesizing myriad fascinations." The exhibited included painted wood toy Soldiers, roses, children, and ice, as well as a lacquered gold coach which was displayed outside in the January snow. The Vogue magazine reviewer wrote that she "explores the themes of fantasy, ruin, and beauty to create a magical universe of her own."

From November 2012 to January 2013 the Gagosian Gallery held Feinstein's first exhibition in Rome, Italy. For it she created an impressionistic panoramic wallpaper of Rome covering different historical periods, painted and displayed on mirrors and accompanied by life size wooden sculptures inspired by depictions of early Christian saints and martyrs.