Jessica P. Einhorn was born in 1947 and grew up in New York City. She received a bachelor's degree from Barnard College in 1967, a master's in international affairs from the Johns Hopkins University School of Advanced International Studies (SAIS) in 1970, and a doctorate in politics from Princeton University in 1974. Early in her career she worked for the U.S. Treasury and the economic affairs section of the U.S. State Department.

Einhorn began working for the World Bank in 1978 in the Programming and Budget (PAB) Department. She left that position one year later to work for the International Development Cooperation Agency of the United States government. In 1981 Einhorn returned to the Bank, this time as an adviser in the Office of the Vice President and Treasurer (TREVP). From 1984 to 1986 she served as Chief, Planning and Special Operations, within TREVP. From 1987 to 1991 Einhorn was director of TRE's Financial Operations Department (FOD), which borrowed funds required to meet the World Bank's debt obligations, loan disbursements, and operating expenses. In December 1991 she replaced Donald Roth as Vice President and Treasurer, becoming the first woman in the Bank's history to hold that position.

When President James D. Wolfensohn named Einhorn to the new position of Managing Director, Finance and Resource Mobilization (MDFMD), which she began in January 1996, she became the World Bank Group's first woman managing director. At the time of the creation, the following vice presidencies reported to the MDFMD: the Vice President of the Treasurer (TREVP); the Vice President of the Controller (CTRVP); the Vice President of Cofinancing and Advisory Services (CFSVP); and the Vice President of Financial Policy and Risk Management (FPRVP). As MDFMD, Einhorn modernized the Bank's financial policies and loan products and helped develop partnerships with international foundations.

Upon leaving the World Bank Group in August 1998, Einhorn became a visiting fellow for one year at the International Monetary Fund, where she studied global finance and financial crises. From 2001 to 2012 she served as Dean of the Paul H. Nitze School of Advanced International Studies (SAIS) of the Johns Hopkins University.