Annensky was born into the family of a public official in Omsk on September 1 N.S. 1855 . In 1860, while still a child, he was taken to Saint Petersburg. Innokenty lost his parents early on, and was raised in the family of his older brother, Nikolai Annensky, a prominent Narodnik and political activist.
In 1879, Innokenty graduated from the philological department of St. Petersburg University, where he concentrated on Historical-comparative linguistics. He became a teacher, and taught classical languages and ancient literature studies in a gymnasium in Tsarskoe Selo. He served as the Director of this school from 1886 until his death in 1909. Anna Akhmatova graduated from this school, and called Annensky "my only teacher," as did Nikolai Gumilev, who called him "the last of Tsarskoe Selo's swans."
Like Vasily Zhukovsky before him, Annensky was somewhat reluctant to publish his original poems and first gained renown with his masterful translations of Euripides and the French Symbolists. From 1890 until his death in 1909, he translated from Ancient Greek all the works of Euripides. At the beginning of the 1900s, Annensky wrote a series of tragedies modelled after those of ancient Greece: Melanippa-filosof (1901), Tsar Iksion (1903), Laodamia (1906). Some of these works were dedicated to his colleague, Faddei Zielinski, who would later write his obituary.
As a literary critic, Annensky published The Book of Reflections, two volumes of essays on Nikolai Gogol, Mikhail Lermontov, Ivan Goncharov, and, his favourite, Fyodor Dostoyevsky. His essays were sometimes termed "critical prose" because of the artistic value of these texts. During his last months, Annensky worked as an editor of Sergei Makovsky's journal Apollon, in which he published some essays on poetry theory. Nikolai Gumilev valued these theoretical works very highly and considered Annensky to be the first true acmeist.
In literary history, Annensky is remembered primarily as a poet. He started writing poetry in the 1870s but did not publish it. He followed the advice of his older brother, Nikolay, not to publish anything until he is 35. His first collection of poems, entitled Quiet Songs, was published in 1904 under the pseudonym Nik. T.-o (i.e., "No one" in Russian). It gained moderate praise from leading Symbolists, many of whom didn't suspect that Annensky was the author. His second book, Cypress Box, was much more important. The poet died just days before its projected publication. Many of his unpublished pieces were edited in the 1920s by his stepson, Valentin Krivich, who was a minor poet.
On December 11 N.S. 1909, Innokenty Annensky died from a heart attack at the Tsarskoe Selo railway station in Saint Petersburg. His death was linked to family difficulties. Many of his finest pieces (e.g., Stansy, Dalnie Ruki) were actually inspired by Annensky's unrequited love for his daughter-in-law.