Born in Saint Petersburg, Pingoud was a pupil of the great Russian composers Alexander Glazunov and Nikolai Rimsky - Korsakov at the Saint Petersburg Conservatory. In 1906, he went to Germany to study with Max Reger.

Pingoud was the first Finnish composer to write modernist music. During his lifetime, the public did not appreciate his work. His first concert, held in Helsinki in 1918, was a disaster in which the music shocked the audience, much like their counterparts at the notorious 1913 premiere of Stravinsky's The Rite of Spring in Paris. Hostility towards his music continued to plague him throughout the rest of his career. Today, his music is being rediscovered and given the chance of posthumous success.

Pingoud committed suicide by throwing himself under a train in Helsinki in 1942.