Daughter of Sigfrid, Count of Luxembourg. Received a religious education, and took a private vow of virginity. Married Saint Henry II, Duke of Bavaria, who agreed to honour her vow. On the death of Emperor Otho III, Henry was chosen King of the Romans, and Cunegundes was crowned queen at Paderborn, Germany in 1002. Holy Roman Empress in 1014, receiving the crown from Pope Benedict VIII.

At one point, gossips accused her of adultery, but she proved her innocence by asking for God‘s help, then walking over pieces of flaming iron without injury.

During his time as emperor, Henry gave away the bulk of his wealth in charity; when he died in 1024, Cunegundes was left relatively poor. On the 1025 anniversary of Henry‘s death, which coincided with the dedication of a monastery she had built for Benedictine nuns at Kaffungen, Cunegundes took the veil, and entered that monastery, spending her remaining 15 years praying, reading, and working beside her sisters.