Anna Sophie Petersen was one of the few women in her own lifetime who received a real education as an artist. She began at 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 the Royal Danish Academy of Fine Arts' School of Art for Women (Kunstakademiets Kunstskole for Kvinder).

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.