Fini was born in Buenos Aires. She was raised in Trieste, Italy, and moved to Milan at the age of 17 and then to Paris in 1931. There, Fini became acquainted with all the luminaries of the time, including Paul Éluard, Max Ernst, and Henri Cartier-Bresson. Fini was legendary for both her vivacious personality and her ethereal subjects. In the 1970s, she wrote three novels, and she also illustrated many works by great authors and poets.