Athinkhaya was born c. 1261/62 to a prominent family in Myinsaing in Central Burma. His father Theinkha Bo was a younger brother of the sawbwa (chief) of Binnaka, and had fled to Myinsaing after a dispute with his brother in 1260. Traditional (British colonial era) scholarship identifies his father as an ethnic Shan. But the historian Michael Aung-Thwin has rejected the assertion, given that no historical evidence any kind exists to support the claim. At any rate, Theinkha Bo married a daughter of a wealthy banker at Myinsaing. Athinkhaya was the eldest of the couple's four children. He had two younger brothers Yazathingyan and Thihathu, and a younger sister Hla Myat.
Athinkhaya entered the royal service of King Narathihapate, and was later joined by his two brothers. The three brothers distinguished themselves in the war with the Mongols, which began in 1277. Athinkhaya married into the royal family, marrying Princess Saw U, a niece of the king and a granddaughter of King Uzana and Queen Thonlula. (His sister Hla Myat also married to Prince Thihathu, Viceroy of Prome.)
In 1285, the three brothers, still in their twenties, came to lead the defense of Central Burma. The army had been defeated in northern Burma by the Mongols in the previous dry-seasons (1283–85). Over the next two years, they manned the front (north of present-day Mandalay) while the king and his court relocated to Lower Burma. It was probably during this period that the brothers were given the official titles of Athinkhaya, Yazathingyan and Thihathu by which they would be known in history. The king later accepted the Mongol suzerainty in January 1287 but was assassinated on 1 July 1287. When the Mongols at Tagaung invaded southward, the brothers successfully held the Mongols, who after taking heavy casualties retreated to their base in Tagaung.
The country fell into anarchy. The Mongols at Tagaung decided not to get involved, leaving the power vacuum unfilled. In Central Burma, the brothers officially took over the leadership of the army, and consolidated their hold of the Kyaukese region, the main granary of the Pagan Kingdom. One of Narathihapate's sons Kyawswa eventually emerged king at Pagan on 30 May 1289 but Kyawswa did not control much beyond the capital. The real power in Central Burma now belonged to the brothers. On 19 February 1293, Kyawswa tried to buy their loyalty by appointing them viceroys of Kyuakse: Athinkhaya as viceroy of Myinsaing, Yazathingyan as viceroy of Mekkhaya and Thihathu as viceroy of Pinle. The territories they were given to govern were small but the king himself ruled a small region around the capital. The brothers took the title of viceroy but did not think much of the "king". Their commemorative inscription of their appointment as viceroy actually states that they were equal to the king, and reminds that it was them who defeated the Mongols in 1287. When Martaban (Mottama) in Lower Burma, which had been in revolt since 1281 and officially declared independence from Pagan since 1287, became a vassal of Sukhothai in 1293, it was the brothers who marched to retake the former Pagan territory. Although they were driven back by 1294, it left no doubt as to who held the real power in Central Burma.
In the following years, the brothers continued to consolidate power in Central Burma. Their youngest brother Thihathu was the least diplomatic, proclaiming himself hsinbyushin (ဆင်ဖြူရှင်, "Lord of White Elephant") in 1295 and mingyi (မင်းကြီး, "Great King") in 1296. Though Athinkhaya and Yazathingyan may have tolerated their brother's declarations, Kyawswa felt threatened by them. In January 1297, Kyawswa decided to ask for the protection of the Mongols, and was recognized by the Mongol emperor Temür Khan as King of Pagan on 20 March 1297. The emperor also gave Chinese titles to the brothers as subordinates of Kyawswa. The brothers ultimately decided to overthrow Kyawswa and face the Mongols. On 17 December 1297, with the help of the dowager queen Pwa Saw, they overthrew Kyawswa, and installed one of Kyawswa's sons, Saw Hnit as their puppet king. The brothers now ruled Central Burma as co-regents from their respective capitals of Myinsaing, Mekkhaya and Pinle.
After the overthrow, the brothers braced for a reprisal by the Mongols. But the expected reprisal never came. They became bolder, and allowed Saw Hnit to give his first audience on 8 May 1299. Two days later, they executed Kyawswa and his eldest son Theingapati. Another son of Kyawswa, Kumara Kassapa, escaped to Yunnan in September 1299 to seek the help of the Mongols. In January 1300, the brothers decided to force the issue by attacking and occupying southernmost Mongol garrisons at Singu and Male. The Mongol government at Yunnan could not respond until a year later, sending a 12,000-strong army. The brothers decided to face the Mongols in Central Burma at their heavily fortified city of Myinsaing. The Mongol army began the siege of Myinsaing on 25 January 1301, and launched a major attack on the fort on 28 February 1301. The attack failed. On 12 March 1301, Athinkhaya, with his brothers' support, made an offer to the Mongol command, to give them a bribe in exchange for their withdrawal. The Mongol command agreed. On 6 April 1301, upon receiving a bribe of 800 taels (30 kg) of gold and 2200 taels (83 kg) of silver, the Mongol army began their withdrawal. The Yunnan government did not agree with the withdrawal; the two senior Mongol commanders were executed for abandoning the original mission. Nonetheless, the Mongols did not send another expedition, and withdrew altogether from northern Burma two years later.
The Mongols left northern Burma to their nominal vassals, the Shan states. The brothers were able to extend their influence as far north as Tagaung but no further. The brothers' joint-rule survived despite Thihathu's ambitions. The youngest brother assumed a royal title of Ananda Thiha Thura Zeya Dewa in 1306, and proclaimed himself king on 20 October 1309. It is not known what the two elder brothers made of the proclamations. At any rate, Athinkhaya died on 13 April 1310 and the two younger brothers were still alive. Yazathingyan passed to the background and died in 1312/13. Thihathu proclaimed himself as the successor of the Pagan dynasty, as he founded Pinya Kingdom on 7 February 1313.