Born Ida Prather in Toccoa, Georgia, she left home at fourteen to tour with a minstrel revue. Cox excelled at vaudeville singing, but when the popularity of vaudeville shows began to fade, she transformed herself into a formidable blues singer and worked the Southern tent show and vaudeville circuit. She spent some time with pianist Jelly Roll Morton before signing a recording contract with Paramount in 1923.
In 1923 she made her first blues recordings, Graveyard Dream Blues and Weary Way Blues, for the Paramount label. She met with immediate success and went on to record seventy-eight songs between 1923 and 1929, including Cemetery Blues, Handy Man, and her best-known song, Wild Women Don't Have the Blues. Cox wrote most of the songs that she recorded.