Gazdanov was born in St. Petersburg but was brought up in Siberia and Ukraine, where his father worked as a forester. He took part in the Russian Civil War on the side of Wrangel's White Army. In 1920 he left Russia and settled in Paris, where he was employed in the Renault factories. Later, he earned his living as a taxi driver.
Gazdanov's first novel — An Evening with Claire (1930) — won accolades from Maksim Gorky and Vladislav Khodasevich, who noted his indebtedness to Marcel Proust. On the strength of his first short stories, Gazdanov was decried by critics as one of the most gifted writers to begin his career in emigration. Nevertheless, his books of the 1930s are difficult to compare to Vladimir Nabokov's: they are lacking in structure, the narrative is episodic.
Gazdanov's mature work was produced after World War II. His mastery of criminal plots and understanding of psychological detail are in full evidence in his two most popular novels, The Specter of Alexander Wolf and The Return of the Buddha, whose English translations appeared in 1950 and 1951. The writer "excels in creating characters and plots in which cynicism and despair remain in precarious yet convincing balance with a courageous acceptance of life and even a certain joie de vivre.
Gazdanov's works were never published in the USSR. After several decades of oblivion, starting from the 1990s more than fifty editions of his works (including a three-volume collection) were finally published in post-Soviet Russia. The Ossetian artistic community, led by Valery Gergiev, had a new tombstone placed at his grave in Sainte-Geneviève-des-Bois. The annual Gazdanov Readings are held to discuss his literary heritage.