Her father, a former mining engineer, and her mother of Italian ancestry were operating Café Báthory on the Kálvin Square, where Bajor first met the nightlife of the city, her later audience.
After studying in a girls' school operated by nuns of Institutum Beatae Mariae Virginis, she completed the Academy of Drama in Budapest between 1911 and 1914.
During World War II, she hid deserted soldiers and families in her resort, including her later third husband, prof. Tibor Germán.
In 1951, the mentally ill Tibor Germán, fearing that his wife was threatened by various diseases, killed Gizi Bajor and himself.
She was committed to the National Theatre's Hall of fame in 1925, and she was one of the first to receive the prestigious Kossuth Prize in 1948.