Coddington was born to hotelier parents on the island of Anglesey, Wales. Her interest in fashion began in her teens, when she would anxiously await the arrival of a current issue of Vogue magazine, which was at least three months outdated due to the fact that she needed to order it on "Rush-Copy". She lived miles away from any designer shops, so Vogue was her only connection to the fashion world. She says that she loves "the whole sort of chic thing [about Vogue ] that was so entirely out of context compared to the lifestyle that [she] led". As a teen, she was pale-skinned and convent-educated and never went anywhere on her holidays, so she just looked at Vogue. Around the age of 17, there was a Vogue model competition, and someone submitted her pictures. She ended up winning the Young Model section. She then began her modeling career for Vogue
At the age of 26, Grace was in car accident which left her disfigured (she lost her eyelid). She later had plastic surgery to have it reconstructed. Two years after the accident, at the age of 28, she was interviewed by British Vogue's Editor, Beatrix Miller and she was employed as a Junior Editor. After nineteen years as Photo Editor with British Vogue, she moved to New York to work for Calvin Klein In July 1988, she joined Anna Wintour at American Vogue, where she remains the magazine's creative director.