Devi's father and guru Alauddin Khan, founder of the "Senia Maihar gharana" or "Senia Maihar School" of Hindustani classical music, was a noted musician and guru of Indian classical music. Her uncles, Fakir Aftabuddin Khan and Ayet Ali Khan, were noted musicians at their native place Shibpur, in the present-day Bangladesh. Her brother Ali Akbar Khan was a legendary Sarod maestro and was considered a "national living treasure" in India and the USA. Her former husband, virtuoso Sitar maestro Ravi Shankar, was perhaps the most famous Indian classical musician internationally. Their son, Shubhendra Shankar, also performed as a musician.
In 1982 she married her student Rooshikumar Pandya. He died in 2013.
Annapurna Devi became a very accomplished Surbahar player of the Maihar gharana (school) within a few years of starting to take music lessons from her father. She started guiding many of her father's disciples, Nikhil Banerjee and Bahadur Khan, in classical music as well as in the techniques and intricacies of instrumental performances. Meanwhile, Alauddin Khan's Sitar student Ravi Shankar married Annapurna. (There is no documentary evidence, based on Pandit Jotin Bhattacharya's two vol. Bengali book, Ustad Allauddin Khan o Aamraa. The marriage took place because of the eagerness and proposal of Uday Shankar.). The marriage between Ravi Shankar and Annapurna Devi took place when Ravi was 21 years and Annapurna was 14 years old. She converted to Hinduism upon marriage. The marriage lasted more than two decades, and she gave birth to a son, Shubhendra Shankar (1942–1992), whom she trained in Sitar. Shubhendra Shankar (or "Subho", as he was popularly known) had rigorous training in Sitar under the tutelage of his mother. His father chose to interrupt his musical talim or training and took him to the United States. Shubhendra died at an early age, after a marriage and the birth of three children. Shubhendra did not have a solo career in classical music, but did for a period accompany his illustrious father Ravi Shankar in concerts in the USA and abroad.
In the 1950s, both Ravi Shankar and Annapurna Devi performed duets in Delhi and Calcutta, principally at the college of her brother, Ali Akbar Khan. But later, Shankar started getting insecure, since she used to be applauded in concerts more than he was, and she thereafter decided not to perform publicly.
Though she refrained from taking music as her profession, Devi was highly respected in Indian classical music especially for her wide repertoire in Indian classical music, and her traditional "dhrupadi" approach to music.
1977, she received the Padma Bhushan (India's third highest civilian honour).
In 2004, the Sangeet Natak Akademi, the Government of India's highest organisation for promoting music and other fine arts, appointed her a "Ratna" or jewel fellow (a lifetime honour).
She has not recorded any music albums. Some of her performances are reported to have been secretly taped. In spite of Devi's avoidance of media-limelight, she continues to be thought of as a classical instrumentalist of the highest calibre in India.