Feininger was born to parents of German descent and grew up in New York City. He moved to Berlin to study at the Königliche Akademie Berlin under Ernst Hancke and art schools in Berlin with Karl Schlabitz and in Paris with sculptor Filippo Colarossi. He started working as a caricaturist for several magazines including Harper's Round Table, Harper's Young People, Humoristische Blätter, Lustige Blätter, Das Narrenschiff, Berliner Tageblatt and Ulk.

Feininger married Clara Fürst, daughter of the painter Gustav Fürst and they had two daughters. Later he had also several children together with Julia Berg and they later married.

The artist is represented with drawings at the exhibitions of the annual Berlin Secession in the years 1901 through 1903.

Feininger only started working as an artist at the age of 36, after having worked as a commercial caricaturist for twenty years for various newspapers and magazines in both the USA and Germany; he was a member of the Berliner Sezession in 1909, was associated with expressionist group Die Brücke, the Novembergruppe, Gruppe 1919, and The Blue Four. He also taught at the Bauhaus for several years, beginning 1919.

When the NSDAP came to power in 1933, the situation became unbearable for Feininger and his wife, who was partly Jewish. They moved to America after his work was exhibited in the 'degenerate art' (Entartete Kunst) in 1936, but before the 1937 exhibition in Munich.

Feininger was one of the very few fine artists also to draw comic strips as a cartoonist. His short-lived strips, The Kin-Der-Kids and Wee Willie Winkie's World were noted for their fey humor and graphic experimentation.