He took to violin naturally. His family was musical: his mother was the conductor of a 500-voice choir. As a four year old he began to practice after dinner and kept going until he was too tired, then went outside and rode his tricycle to wind down, usually by 3 a.m. His father decided to find the best available teacher and took him, without appointment, to Galina Turchaninova who, oddly, greeted them by saying, "Oh, I've been expecting you." She took him as a student. Before the first lesson Turchaninova realized a case of mistaken identity had occurred: she thought Maxim was a boy the director of the Conservatory had sent over, who never showed up. Turchaninova was a very strict teacher, and the boy at one point refused to play a note for five straight lessons. She called Maxim's mother in to inform her she was dismissing him as her student. When his mother broke down in tears, Maxim realized he had done wrong, picked up his violin, and played 17 assigned pieces from memory; he had been practicing them even though he had not been playing them. "Very well," said Turchaninova, and agreed to continue his lessons. "A violinist like Maxim is born only once in 100 years."

He studied with Zakhar Bron, another great teacher, and at ten won the Junior Wieniawski Competition in Poland. He immediately had concert engagements in Russia and even with western European orchestras such as the Amsterdam Royal Concertgebouw and the BBC Philharmonic.

In 1995, he released his recordings of the Shostakovich and Prokofiev first violin concertos on the Teldec label. This disc was Best Concerto Recording and Best Record of the Year in the Gramophone Awards, was nominated for two Grammy Awards, and represented an early collaboration with his favorite conductor, Mstislav Rostropovich. He has also won awards as Gramophone Young Artist of the Year and the Ritmo Artist of the Year in Spain.

Maxim Vengerov was named in 1997 as the Envoy for Music of the United Nations' Children's Emergency Fund (UNICEF), the first classical musician to be so appointed. In 1997, he was asked by conductor Kurt Masur to play the season's opening concert of the New York Philharmonic.

In 2000, after a 10-year exclusive contract with Teldec, he signed with EMI, releasing Shchedrin's Concerto Cantabile (which was written for him) with Rostropovich conducting. He has played Baroque violin in recitals with harpsichordist Trevor Pinnock and made his conducting debut with the English Chamber Orchestra.

Maxim Vengerov played the 1727 "Reynier" Stradivarius and, in 2000, with the aid of Yoko Nagae Ceschina was able to purchase the famous "ex-Kreutzer" Stradivarius. He uses Jascha Heifetz's bow. He now makes his home in Israel.