Anna Mae Winburn was born to a musical family in Port Royal, Tennessee, and migrated to Kokomo, Indiana, at a young age. Her mother's maiden name was Canell. She had three sisters: Matilda, Judy, and Easter.
Julia Mae (Judy) Darden (b. December 20, 1920) sang with groups around Minneapolis] and was married to Frank Perkins, a pianist and son of Red Perkins. Sometime around 1961 Judy married saxophonist and bandleader Percy Caesar Hughes of Minneapolis. Judy, then known as Julia Mae Hughes, died of lung cancer on January 1, 1975. Anna Mae's sister Easter married drummer and vibist William "Jeep" Stewart, and after divorcing him, later married James Overton.
Winburn married Eustace "Duke" Pilgrim (b. 1921 Eustace Michael Pilgrim; d. 1970) around 1948. They had four children. They lived in Elmhurst, New York, among many Harlem transplants and jazz greats. Duke Pilgrim had a prior marriage to Alberta Adams.
Winburn died in 1999 in Hempstead, New York.
Her first known publicized performance was singing with the studio band of Radio WOWO, Fort Wayne. She worked at various clubs in Indiana, including the Chateau Lido in Indianapolis (where she appeared under the pseudonym Anita Door).
From there she moved to North Omaha, Nebraska, where she sang and played guitar for a variety of territory bands, or groups whose touring activities and popularity were geographically limited to several adjoining states, that were led by Red Perkins. During that time Winburn was a collaborator of Lloyd Hunter, frequently singing for Lloyd Hunter's "Serenaders". She also led the Cotton Club Boys out of Omaha, a group that at one point included the amazing guitarist Charlie Christian. When many of the musicians were lost to the World War II draft, Winburn joined the International Sweethearts of Rhythm. Soon she went to Oklahoma City and led bands for a short while. It was there that she led Eddie Durham's "All-Girl Orchestra", which eventually earned her an invite to join the International Sweethearts of Rhythm.
Eddie Durham had been the composer for the International Sweethearts of Rhythm for two years before leaving to join Count Basie's band. After being recommended by Jimmie Jewel, who owned North Omaha's Dreamland Ballroom, Winburn became the leader of the band in 1941. She was reportedly hired for her attractive figure, with the intention of doing little actual composing or singing.
In a video interview from 1986, Winburn reported of her first meeting, "I said 'What a bunch of cute little girls, but I don't know whether I could get along with that many women or not." Despite rumors of Betty White being groomed to take her place after her marriage, Winburn was the leader of the band until it folded in late 1949.
Winburn formed other incarnations of the International Sweethearts for the next 10 years, often billing her name before the band's. However, those bands never regained the notoriety of the early years.