Born in Boston, Massachusetts, she began training with Madame Tatiana Legat, at the Boston Ballet School aged 13. She was awarded a Gold Medal in 1998 by U.S. President Bill Clinton after being named a Presidential Scholar in the Arts. With Legat's coaching she won three silver medals in 1999 at the International Ballet Competition in Nagoya, Japan, the Sixth NY IBC in 2000, and the USA IBC in 2002.
She joined Boston Ballet in 1998, was promoted to soloist in 2001 and principal in 2003. She joined The Royal Ballet in August 2004 as a first soloist and was promoted to principal in 2006. 
The second of three children, all girls, born to Kathleen and John Lamb, Sarah grew up in Boston and Brookline. She started dancing almost as soon as she could walk. Before she was ten years old, she was training in the Boston Ballet School and chosen to star in the annual major professional production of The Nutcracker as Clara. Years later, she starred in the adult roles with other young Claras, on the same stage. She married fellow dancer Patrick Thornberry in 2005 and they reside in London.