Giulia was born in Gazzuolo (near Mantua) in 1512 the daughter of Ludovico Gonzaga, lord of Sabbioneta and Bozzolo, and Countess Francesca Fieschi.

Giulia organized her palace as a center of culture, attracting the attention of many of her contemporaries as much for these activities as for her famous beauty, though she refused to marry again.

She had a liaison with Cardinal Ippolito de' Medici of Florence, who died in Itri (southern Lazio) after a meeting with her.

In the night of 8–9 August 1534, the town of Fondi was attacked by the corsair Barbarossa, who was seeking to kidnap and deliver her to Suleiman the Magnificent.

James Reston alleges that Gonzaga later had the knight killed because she had been nearly nude during her escape, and he had seen too much, though he provides no reference for this claim.