Marie Sandholt came from a well-to-do family and was able to pursue her artistic education at Tegne- og Kunstindustriskolen for Kvinder (School for Drawing and Applied Art for Women) and later at the Royal Danish Academy of Fine Arts' School of Art for Women (Kunstakademiets Kunstskole for Kvinder). She focused mainly on landscapes, figurkompositioner and portraits and was especially influenced by the artist Viggo Pedersen (1854–1926), for whom she was working - along side being taught in the art of painting - in a period from 1897 to 1899. From 1900 to 1910 she undertakes several travels in Europe, and most importantly stays in Italy and Paris, where she is taught at Académie Colarossi under the artist Christian Krohg (1852–1925).

Marie Sandholt received several scholarships and stipends during her lifetime, and furthermore she taught embroidery on her former school School for Drawing and Applied Art for Women in 1905–1906 and worked as a designer both at Den Kgl. Porcelainsfabrik and with Bing & Grøndahl.

She exhibited frequently at Charlottenborg from her debut in 1895 until her death, just as she showed several times at Kunstnernes Efterårsudstilling, exhibited on many occasions throughout the country and gave several solo exhibitions in Copenhagen.