Anna Sophie Petersen was one of the few women in her own lifetime who received a real education as an artist. She began at Tegne- og Kunstindustriskolen for Kvinder (The School for Drawing and Applied Art for Women), from which she graduated in 1880. In the 1880s, she went on study trips to Rome and later to Brittany and Paris, where she was taught by the French painter Jean-Jacques Henner (1829–1905). In 1890, she was admitted to Kunstakademiets Kunstskole for Kvinder (The Royal Danish Academy of Fine Arts' School of Art for Women). At first, she concentrated on painting models and portraits, but gradually she began focusing more and more on painting peasant life and gained recognition as a great realist in the style of Laurits Andersen (L. A.) Ring (1854–1933). As far as is known, Anna Sophie Petersen spent most of her career living in Paris and Italy, where from 1900 she largely concentrated on making sculptures.

She was an unusual woman who socialised with the modern artists of the time and participated in many exhibitions both at home and abroad. A good friend was J. F. Willumsen (1863–1978), with whom Anna Sophie Petersen travelled to Spain. The two remained lifelong friends. She painted in Skagen and was a part of the scandinavian artist community in Paris in 1888–1889. Anna Spohie Petersen is represented in several Danish Museums.