Henie early showed a talent in figure skating and already at the age of eleven she participated in her first Winter Olympics. The following year, at the age of twelve, Henie won the first of five consecutive Norwegian Championships. From 1927–1936 she won three Olympic gold medals, six European Championships and ten straight World Championships. At the age of 25, she was appointed Knight of the 1st Class of the Order of St. Olav, the youngest person ever.

Henie signed a tour contract in the United States and did a number of skating shows before going to Hollywood, where she signed a five-year film contract with 20th Century Fox. Her first Hollywood film, One In A Million (1936), was a formidable success. By 1940 she was one of Hollywood's highest-paid actresses, alongside Clark Gable and child star Shirley Temple. Alongside her film career, Henie continued to give her popular ice shows, and also visited Norway to sold-out stadiums.

In 1955, Sonja Henie met shipowner and art collector Niels Onstad (1909–1978). They married the following year, and in the years that followed, building up her art collection became an all-consuming interest for both of them. Henie entered the arts with as much commitment and drive as she did sports and film. She collected art by Pablo Picasso, Pierre Soulages, Fernand Legér, Jakob Weidemann and Anna-Eva Bergmann. When the art center at Høvikodden was to be built, she was involved in every detail.

Henie Onstad Art Center opened on August 23, 1968. Sonja Henie died of leukemia on October 12, the year after the inauguration, at the age of 57.