Yury Pavlovich Annenkov was born in Pyotrоpavlovsk on July 23(11), 1889. In 1894 the Annenkovs family moved to St. Petersburg.  Yury studied in the 12th Petersburg state grammar school and then was expelled for drawing political caricatures. In 1906 he went on studying in Stolbtsov's private grammar school.

In 1908 Yury Annenkov entered the law department of the Petersburg University, and at the same time was engrossed in painting.  In 1909 the beginning artist tried to enter the Academy of Arts but failed. Yet he did not give up and mastered his art skills in Ya.F. Tsionglinsky’s studio, as well as baron A.D. Shtiglits’ School for Technical Drawing.

Yury Annenkov’s long-term cooperation with the magazines Theatre and Art and Satyricon began in 1913. He created a number of illustrations, for example to Alexander Blok’s famous poem The Twelve (1918).  In addition the artist worked on stage designs in St. Petersburg theaters.

Yury Annenkov collaborated with lots of well-known stage directors of that time, among them K.S. Stanislavsky, V. E. Meyerhold, F.F. Komissarzhevsky, N. F. Baliyev, and N.V. Pyotrоv. In addition to that, he was on friendly terms with the dissident writer Yevgeny Zamyatin and the artist Ilya Repin.