Born in Brooklyn, New York, she began performing in vaudeville as a child, appearing as “The Baby Vamp” at the age of 14. Four years later she married the actor Frank Wallace and made her debut on Broadway. In 1926 she wrote, produced, directed, and starred in a Broadway show of her own. Its title was Sex, and it led to West's arrest and imprisonment for obscenity. Her next play, Drag (1927), was banned on Broadway because it dealt with the issue of homosexuality. She continued to write and perform on stage, returning to Broadway in triumph with the hugely successful Diamond Lil (1928).

In 1932 West made her first appearance on the big screen in Night after Night, in what should have been a supporting role. The star of the film, George Raft, later remarked, “She stole everything but the cameras.” The following year West starred in She Done Him Wrong, a film version of Diamond Lil, which broke box-office records. This was followed by starring roles in I'm No Angel (1933), Belle of the Nineties (1934), Goin' to Town (1935), and Klondike Annie (1936), all of which were written or cowritten by West, making her one of the highest paid women in the United States. However, censorship rules were being tightened, and she was forced to tone down the risqué style and content of her films to such an extent that they lost their appeal.

After retiring from the cinema in the early 1940s, West continued to write and perform in plays and shows on stage, notably Catherine Was Great (1944), and toured with a cabaret act. Her autobiography, Goodness Had Nothing to Do with It, was published in 1959. (The title is a line from the film Night after Night, uttered by West in response to the remark “Goodness, what beautiful diamonds!”) Having turned down the role of Norma Desmond in Billy Wilder's film Sunset Boulevard (1950), West was eventually lured back to the cinema for Myra Breckinridge (1970), after rewriting most of her dialogue. Her last appearance on the big screen, in Sextette (1978), was not a great success. She suffered a serious stroke in 1980 and died three months later.