Gesualdo was part of an aristocratic family which had acquired the principality of Venosa in 1560. His uncle was Carlo Borromeo, later Saint Charles Borromeo. In addition, Gesualdo's mother, Girolama, was the niece of Pope Pius IV. Most likely he was born at Venosa, then part of the Kingdom of Naples, but little else is known about his early life. Even his birthdate — 1560, 1561 or 1566 — is a matter of some dispute, though a recently discovered letter from his mother indicates he was probably born in 1566. Gesualdo had a musical relationship with Pomponio Nenna, though whether it was student to teacher, or colleague to colleague, is uncertain. At any rate, he had a single-minded devotion to music from an early age, and showed little interest in anything else. In addition to the lute, he also played the harpsichord and guitar.

In addition to Nenna, Gesualdo's accademia included the composers Giovanni de Macque, Scipione Dentice, Scipione Stella, Scipione Lacorcia, Ascanio Mayone, and the nobleman lutenist Ettorre de la Marra.

In 1586 Gesualdo married his first cousin, Donna Maria d'Avalos, the daughter of the Marquis of Pescara. Two years later she began to have a love affair with Fabrizio Carafa, the Duke of Andria. Evidently, she was able to keep it secret from her husband for almost two years, even though the existence of the affair was well-known elsewhere. Finally, on October 16, 1590, at the Palazzo San Severo in Naples, when Gesualdo had allegedly gone away on a hunting trip, the two lovers took insufficient precaution at last (Gesualdo had arranged with his servants to have keys to the locks of his palace copied in wood so that he could gain entrance if it were locked). Gesualdo returned to the palace, caught them in flagrante delicto and murdered them both in their bed. Afterward, he left their mutilated bodies in front of the palace for all to see. Being a nobleman he was immune to prosecution, but not to revenge, so he fled to his castle at Gesualdo where he would be safe from any of the relatives of either his wife or her lover.

Details on the murders are not lacking, because the depositions of witnesses to the magistrates have survived in full. While they disagree on some details, they agree on the principal points, and it is apparent that Gesualdo had help from his servants, who may have done most of the killing; however, Gesualdo certainly stabbed Maria multiple times, shouting as he did, "she's not dead yet!" The Duke of Andria was found slaughtered by numerous deep sword wounds, as well as by a shot through the head. When he was found, he was dressed in women's clothing (specifically, Maria's night dress). His own clothing was found piled up by the bedside, unbloodied.

The murders were widely publicized, including in verse by poets such as Tasso and an entire flock of Neapolitan poets, eager to capitalize on the sensation. The salacious details of the murders were broadcast in print, but nothing was done to apprehend the Prince of Venosa. The police report from the scene makes for shocking reading even after more than four hundred years.

Accounts on events after the murders differ. According to some contemporary sources, Gesualdo also murdered his second son by Maria, who was an infant, after looking into his eyes and doubting his paternity (according to contemporary sources he "swung the infant around in his cradle until the breath left his body"); another source indicates that he murdered his father-in-law as well, after the man had come seeking revenge. Gesualdo had employed a company of men-at-arms to ward off just such an event. However, contemporary documentation from official sources for either of these alleged murders is lacking.

In 1594, Gesualdo went to Ferrara, one of the centers of progressive musical activity in Italy, especially the madrigal, and which was home to Luzzasco Luzzaschi, one of the most forward looking composers in the genre. There he also arranged for another marriage, this time to Leonora d'Este, the niece of Duke Alfonso II. She was married to Gesualdo and moved with him back to his estate in 1597. In the meantime, he engaged in more than two years of creative activity in the avant-garde atmosphere of Ferrara, surrounded by some of the finest musicians in Italy. While in Ferrara, he published his first book of madrigals. Also, he worked with the concerto delle donne, the three virtuoso female singers who were among the most renowned performers in Italy, and for whom many other composers wrote music. In a letter of June 25, 1594, Gesualdo indicated he was writing music for the three women in the concerto delle donne; however, it is probable that some of the music he wrote, for example that in the newly developing monodic and/or concertato styles, has not survived.

After returning to his castle at Gesualdo from Ferrara in 1595, he set up a situation similar to the one that existed in Ferrara, with a group of resident, virtuoso musicians who would sing his own music. While his estate became a center of music making, it was for Gesualdo alone. With his considerable financial resources, he was able to hire singers and instrumentalists for his own pleasure. He rarely left his castle, taking delight in nothing but music. Most of his famous music was published in Naples in 1603 and 1611, and the most notoriously chromatic and difficult portion of it was all written during his period of self-isolation.

The relationship between Gesualdo and his new wife was not good; she accused him of abuse, and the Este family attempted to obtain a divorce. She spent more and more time away from the isolated estate. Gesualdo wrote many angry letters to Modena where she often went to stay with her brother. According to Cecil Gray, "She seems to have been a very virtuous lady ... for there is no record of his having killed her." In 1600, Gesualdo's son by his second marriage died. It was after this that Gesualdo had a large painting commissioned for the church of the Capuchins at Gesualdo, which shows Gesualdo, his uncle Carlo Borromeo, his second wife Leonora, and his son, underneath a group of angelic figures.

Late in life he suffered from depression. Whether or not it was related to the guilt over his multiple murders is difficult to prove, but the evidence is suggestive. According to Campanella, writing in Lyon in 1635, Gesualdo had himself beaten daily by his servants, he kept a special servant whose duty it was to beat him "at stool", and he engaged in a relentless, and fruitless, correspondence with Cardinal Borromeo to obtain relics, i.e., skeletal remains, of his uncle Carlo, with which he hoped to obtain healing for his mental disorder and possibly absolution for his crimes. Gesualdo's late setting of Psalm 51, the Miserere, is distinguished by its insistent and imploring musical repetitions, alternating lines of monophonic chant with pungently chromatic polyphony in a low vocal tessitura.

Gesualdo died in isolation, at his castle Gesualdo in Avellino, three weeks after the death of his son Emanuele, his first son by his marriage to Maria. One twentieth century biographer has suggested Gesualdo may have been murdered by his wife. He was buried in the chapel of Saint Ignatius, in the church of the Gesù Nuovo, in Naples. The sepulchre was destroyed in the earthquake of 1688. When the church was rebuilt, the tomb was covered over, and is now under the pavement of the church. The burial plaque, however, remains.