Born in 1869 in Brazos County, Texas, United States, her parents were Albert Baxter and Martha Minerva Tharp Cunningham, both from DeSoto Parish, Louisiana.
She then immigrated to the United Kingdom, where she trained classically, making her debut as a soprano soloist at the coronation of King Edward VII in 1901.
She then made regular tours of England, Ireland and the United States, until taking up a residency at Claridges Hotel, London, from 1910 until 1912, presenting "matinees musicales."
Horrified to be given the answer 600, Cunningham discovered there were thousands of wounded men lying in hospitals, bored, lonely, and in pain.
Cunningham established The Not Forgotten Association, with the object of providing entertainment and recreation for the war crippled that would alleviate the tedium of their lives and give them something to which they could look forward.