St. Cunigunde was one of eleven children born to Siegfried I of Luxembourg (922 – 15 August 998) and Hedwig of Nordgau (c. 935 – 992). She was a seventh-generation descendant of Charlemagne. She married St. King Henry in 999. It is said that she had long wanted to be a nun, and that her marriage to St. Henry II was a spiritual one (also called a "white marriage"); that is, they married for companionship alone, and by mutual agreement did not consummate their relationship. It has been claimed that Cunigunde made a vow of virginity with Henry's consent prior to their marriage. The truth of this is debatable; while the couple were both certainly childless, it is supposed by some authors that later hagiographers mistakenly construed the fact to imply a virginal marriage. Others, however, accept that the marriage was purely platonic.
During their marriage, her husband, Henry, then only Duke of Bavaria, was crowned as King of Germany ("Rex Romanorum") on 9 July 1002 in Mainz, in present-day Germany, by Willigis, Archbishop of Mainz. After her husband was crowned as King of Germany, she was crowned as his Queen (consort) of Germany on 10 August 1002 in Paderborn, in present-day Germany, also by Willigis, Archbishop of Mainz. Later her husband was also crowned as King of Italy ("Rex Italiae") on 14 or 15 May 1004 in Pavia, Italy, but no evidence has been given of her being crowned as his queen consort of Italy.
It appears that Cunigunde was active politically. As the closest adviser of her husband, she took part in Imperial councils. She is also reported to have exerted an influence on her husband in his endowments of land to the Church. These included the cathedral and monastery at Bamberg, Bavaria, in present-day Germany.
Cunigunde traveled with her husband to Rome for his coronation as Holy Roman Emperor ("Romanorum Imperator") as was the tradition for the King of Germany, and was crowned as Holy Roman Empress with him on 14 February 1014 in St. Peter's Basilica, Rome, receiving together with Henry the Imperial Crown from the hands of Pope Benedict VIII. During her reign she suffered from a grave illness and made a vow that if she were to regain her health, she would found a Benedictine monastery at Kassel. Upon her recovery, she kept her oath and work began on the building; however, Henry died in 1024 before it was finished. Upon his death, Cunigunde was obliged to assume the office of Regent of the Empire. This she did with her brother, and later handed over the Imperial insignia when Conrad II was elected to succeed her late husband on 8 September 1024.
As a widow, St. Cunigunde was left comparatively poor, owing to the enormous wealth given away by her and Henry in charitable works.
In 1025, exactly one year after the death of her husband, St. Cunigunde retired to Kaufungen Abbey, in Hesse, Germany, where she entered the monastery of Benedictine nuns she had founded there. At the dedication of the monastery, she offered a relic of the True Cross, removed her regalia, and donned the habit of the nun. There she remained at the monastery, performing charitable works, caring for the sick and devoting her time to prayer. She died 3 March 1040. She was buried at Bamberg Cathedral beside her husband, but may have been buried elsewhere first and then re-interred at the Cathedral in 1201 after her canonisation.
St. Cunigunde was canonised by Pope Innocent III on 29 March 1200, 53 years after the canonisation of her husband St. Henry II in July 1147. To prepare a case for canonisation her biography was compiled. This and the Papal bull for her canonisation relate several instances of miracles to have been worked by the Empress.
One of these relates how, when calumniators accused her of scandalous conduct, her innocence was signally vindicated by divine providence as she walked over pieces of flaming irons without injury, to the great joy of her husband, the Emperor. Another tells of St. Cunigunde falling asleep one night and being carried into bed. Her maid also fell asleep and a candle set the bed on fire. The blaze awoke both of them and upon Cunigunde executing the Sign of the Cross the fire immediately disappeared, saving them from burning. A final legend tells of one of Cunigunde's nieces, Judith, the abbess of Kaufungen Abbey. A frivolous young woman, Judith preferred feasting and carousing with the young sisters to the Sabbath rituals. Cunigunde remonstrated with her, to little effect. Finally the saint became so vexed with her niece that she slapped her across the face; the marks remained on her face for the rest of her life, serving as a warning to those of the community who would not take their vows or observances seriously.
St. Cunigunde is widely venerated. As well as churches that are dedicated to her, such as St. Cunegunda Church in Detroit, USA, Lithuania, Poland, and the Archdiocese of Bamberg Germany, she is the Patroness of Luxembourg, where the parish church of Clausen is dedicated to her and is the venue for Luxembourg's only regular Sunday Mass in the Tridentine Rite.