Born in Wanstead as Hilda Tansley Munnings, the daughter of Frederick Tansley Munnings and the widowed Emma Catherine Gaulton (née Such), she began her career at the Savoy Theatre in London in 1910 and then joined the company of Mikhail Mordkin for a tour of the United States and the Koslov company for a tour of Europe. Hilda Munnings had a half-sister Beatrice Ethel Gaulton (1891–1974) from her mother's first marriage.
She joined Sergei Diaghilev's Ballets Russes in 1913 to become the company's first English ballerina. She was the principal character dancer of the company until it disbanded in 1929. Sokolova's most famous role was that of the Chosen Maiden in Léonide Massine's reworking of The Rite of Spring (1920). She won approbation for "what is generally agreed to be the longest and most exhausting solo in the history of theatrical dance". Other notable performances include La boutique fantastique (1919), Il tricorno (1919), Les matelots (1925) and Le Bal (1929).
After the Ballets Russes disbanded, Sokolova returned to England to teach, coach, work on choreography and occasionally perform. Her last performance was in 1962 when she danced in the Covent Garden Royal Ballet performance of Massine's The Good-humoured Ladies.
In 1945, Henry Gibbs dedicated to Sokolova his book Affectionately Yours Fanny: Fanny Kemble and the Theatre (Jarrolds Publishers, London, 1945); she had helped him trace "authoritative material" (author's note, p. 8).
Sokolova wrote an autobiographical work on her years with the Ballets Russes titled Dancing for Diaghilev (John Murray, London, 1960).
Sokolova had one daughter, Natasha Kremnev (1917–1968), by her first husband Nikolai Kremnev (married 1917). She subsequently married Leon Woizikowski. When she died on 5 February 1974, in Seven Oaks, Kent, England, she was survived by her third husband Ronnie Mahon.
- Robert, Grace (2005). The Borzoi Book of Ballets, p. 261. Kessinger Publishing
- Robert, Grace (2005). The Borzoi Book of Ballets. Kessinger Publishing, ISBN 1-4191-2201-0
- Lydia Sokolova's biography (in French)
- Ballet magazine, "1962 in Ballet"
- "Le Sacre du Printemps"
- Lydia Sokolova - short biography
- Lydia Sokolova entry at Columbia Encyclopedia
- Lydia Sokolova National Portrait Gallery - 3 portraits
- Lydia Sokolova at Find a Grave