Cavendish was born in Hong Kong[2][better source needed] to John Alexander Shakespear Murray and his wife, Constance Ellen Louisa Clarke.

[3] She studied at the Royal Academy of Music, where she was awarded a gold medal.

[2] and made over 400 episodes of her weekly BBC radio programme Kay on the Keys.

[2] Cavendish appeared on the comedy programme It's That Man Again during World War II, entertained troops for ENSA,[2] and appeared in the film Poet's Pub (1949).

Cavendish appeared as a castaway on the BBC Radio programme Desert Island Discs on 5 February 1962.