She was the daughter of established stage actor Arnold Daly and his wife Mary Blythe.

In 1919, Frank Case, manager of the Algonquin Hotel, began hosting popular and well known members of the acting and writing community, with the group being dubbed the "Algonquin Round Table", with members including Edna Ferber, actress Tallulah Bankhead, Harpo Marx and others.

Daly, never a regular member of the group, attended through her association with Bankhead, Estelle Winwood and actress Eva Le Gallienne, with the four of them being dubbed "The Four Riders of the Algonquin".

Daly was bisexual,[1] as was Bankhead, and Le Gallienne was well known inside the acting community as being lesbian.

The three became close friends and associates for decades, but of the three, Daly's acting career never took off to the same extent.