Born Sadie Liza Vaughan, her parents were psychedelic artist David Vaughan, who did work for The Beatles, and his then-16-year-old muse, actress Mary Davidson.

Her childhood she describes as "chaotic but positive experience," being born in Primrose Hill, but spending much of her youth in Ashton-under-Lyne, Greater Manchester after her parents separated. Her parents had six relationships between them, and although Sadie is the oldest they produced four sisters and five brothers for her: including fellow actresses Holly Davidson and Jade Davidson; a brother called Gabriel Jupiter and a sister named Sunshine Purple Tara Velvet.

After appearing in a Jelly Tots advert aged three and appearing with Morecambe and Wise aged five, she gained a scholarship to the Italia Conti Academy. However, following an early eating disorder, she gave up acting aged thirteen and attended Hampstead School. On graduation she left home to escape her parents, and aged nineteen she joined the Manchester Royal Exchange Theatre to appear in Mumbo Jumbo.

As an actress, the majority of her acting credits have been brief supporting roles, including parts in Press Gang and Casualty. Her first film role was in Diamond Skulls, though her most memorable film appearance is as vampire Lucy Westenra in Bram Stoker's Dracula in 1992.

She earned her living mainly through appearing in music videos, including for Pulp's song "Common People", Planet Perfecto feat Grace "Not Over Yet '99"; and various productions for Spandau Ballet where she met first husband Gary Kemp.

After having her first child with Kemp, the pair appeared in The Krays together. In 1994 she took a role opposite a rising star named Jude Law in Paul W.S. Anderson's directorial debut Shopping. Frost started an affair with Law, and although later separated and divorcing from Kemp, the pair had to film a love scene for the 1994 film Magic Hunter.

After marrying and having three children with Law, she cut down on her acting commitments in the late 1990s, and moved into producing (cofounding the production company Natural Nylon with three other British actors: Ewan McGregor, Jonny Lee Miller and Sean Pertwee; plus friend and bar owner Damon Bryant) and fashion.

Natural Nylon produced such films as Sky Captain and the World of Tomorrow and eXistenZ (both of which starred Law); and 2000's Nora which starred McGregor. Bryant and McGregor left the company in 2002, and following their divorce, Law resigned as director in January 2003, with the company folding later that year.

In 1999 she co-founded the fashion label Frost French with her best friend, Jemima French. The label started in lingerie and has expanded into clothing collections. The company and her turbulent private life means she has an agent at Storm Model Agency, and appears irregularly on the cover of magazines such Glamour.

In 2004 she wrote, presented and produced a short lived series What Sadie did next... for E4, and in 2005 appeared in Eating with...Sadie Frost on BBC2.