Munro was born in Burma, where his father was an inspector general of the Burma police when the country was part of the British Empire. He was one of three children. On a visit to England, Munro's mother was killed by a runaway cow while he was still a tot. After her death, the children were sent to England to live with aunts. Munro grew up in a strict Puritan household in western England, educated at first by governesses, then sent away to boarding school.
In his early 20s, Munro rejoined his father in Burma, where he served for about a year in the Burmese Military Police until he contracted malaria and returned to England. On his return, he obtained a newspaper job and began a career as a journalist. Munro wrote for a host of newspapers, including the Daily Express, the Bystander, The Morning Post, and the Outlook. He also worked for the Westminster Gazette, for which he wrote a political column, Alice in Westminster, a parody of Lewis Carroll's Alice in Wonderland. Munro's witty satire depicted politicians as characters in Carroll's story. Munro also served as a foreign correspondent, seeing duty in Warsaw, St. Petersburg (Russia), and Paris.
His pen name, Saki, means cup-bearer in Farsi. Scholars think he took the name either from a species of South American monkey or from a character in the Persian poem The Rubayat of Omar Khayyam. He mentions both in his stories.
When World War I broke out, Munro refused a commission and instead enlisted in the 22nd Battalion, Royal Fusilliers, at the age of 44. He said he wanted to learn to be a soldier before he would take a command, and he rose to the rank of lance sergeant. In November 1916, he and his unit were in northern France near the Belgian border. They had taken shelter in a shell crater in the chilly pre-dawn darkness. A German sniper shot him dead. His last words were said to have been "Put that damned cigarette out."