Originally from the provinces and the daughter of a clergyman, she moved to Copenhagen to pursue her education at the Royal Art Academy, and married fellow artist Einar Wegener (1882-1931) in 1904. After moving to Paris in 1912, she found much success both as a painter and illustrating for Vogue, La Vie Parisienne, Fantasio, and many other magazines. As she found fame in Paris, Gerda also developed a following in her home country. She held exhibitions at Ole Haslunds gallery in Copenhagen at regular intervals. Her career relied on a phenomenal talent but perhaps even more so on her notorious diligence, and the advantages her unusual marriage brought her.

Einar Wegener, who by many at the time was considered a more talented artist, toned down his own work and profile to help his wife in her artistic endeavors. In a female guise, "Lili", he became Gerda's favorite model. Einar Wegener eventually came out as a transsexual woman, and had the first publicly known sex reassignment surgery, in 1930, taking the name Lili Elbe. Gerda Wegener supported Elbe throughout her transition. The king of Denmark declared the Wegeners' marriage null and void in October 1930.