Sara Davenport was born in London in 1962 and grew up between London and Herefordshire. She went to Cambridge University (1980–83) and read History of Art. After graduating, she worked at Hodder and Stoughton publishers before returning to the art world, selling 18th and 19th century paintings at the Cadogan Gallery, Pont St, London. In 1985, she opened the Sara Davenport Gallery in Walton Street, Knightsbridge – one of the only galleries in the world to specialise exclusively in 18th & 19th Century dog paintings. She owned the gallery until 1996.

In 1993, her children's nanny, Wendy Ricketts, was diagnosed with breast cancer. Davenport noted in regard to the National Health Service (NHS) that, "while the dedication of the doctors was indisputable from a medical point of view, the mental and emotional support that the NHS offered was lacking". After speaking to patients, Nurses and doctors, who shared similar concerns, she realised she had spotted a gap in the care these patients were receiving.

As a result, on 10 October 1996, Davenport retired as an art dealer and sold her entire gallery collection (alongside a substantial portion of her private collection) at Bonhams Auction House in Knightsbridge, London.

A fundraising campaign was launched to raise funds for the chapel's renovation and for the first two years of running costs. A board of trustees was formed, which included Jeremy Leigh Pemberton, brother of the former Governor of the Bank of England, who became the charity's first chairman. The first Breast Cancer Haven in London was opened by the charity's Patron, HRH The Prince of Wales, in February 2000, and since then, further centres have opened in Hereford (in January 2004), Leeds (in October 2008), Hampshire (in October 2015), and Worcester (in January 2016).

It took six months before she found the right location for the charity's first centre – a dilapidated chapel in Fulham Broadway, close to both The Royal Marsden cancer hospital and the specialist Breast Cancer Unit at Charing Cross Hospital.