Penny was born in Sabah, Malaysia and moved to Australia when she was eight years old, to Coromandel Valley in the Adelaide hills.
Penny was a student at Coromandel Valley Primary School, then attended Scotch College on a scholarship.
She graduated from the University of Adelaide in 1992 with a Bachelor of Arts and Bachelor of Law (Hons).
Penny began working for the Construction, Forestry, Mining and Energy Union while at University, and worked with the union until 1994 during which time she was an elected organiser and industrial officer.
Penny was a ministerial advisor to the Carr Government in New South Wales between 1995 and 1996, concentrating on forest policy, before returning to Adelaide to practise law with local firm Duncan Basheer Hannon.
Penny was elected to the Senate in 2002.
In 2007, she was appointed Minister for Climate Change and Water, a portfolio that was later expanded to include Energy Efficiency.
Penny was the Minister for Finance and Deregulation from September 2010 until September 2013.
Penny enjoys strolling on the beaches of the Southern Fleurieu with her family, sampling fresh produce at the Central Market, and the occasional indulgence in a South Australian red.
Penny is the duty Senator for the electorates of Mayo and Hindmarsh.