Klassen was attracted to sports at an early age and quickly developed into one of Canada's most versatile athletes. She competed in the 1999 Pan American Games as an in-line speed skater, played for the junior national ice hockey team in 1996, and was a member of Canada's lacrosse team when the sport was a demonstration sport at the 1994 Commonwealth Games. She took up long-track speed skating at age 18 while attending the University of Manitoba and won a spot on the Canadian team for the 2002 Salt Lake City (Utah) Winter Olympics, where she won a bronze in the 3,000 metres. Prior to the start of the 2003–04 season, Klassen suffered a freak accident during a training session when she lost an edge while rounding a turn. She crashed into another skater, whose skate blade cut a 4-inch (10-cm) gash in Klassen's arm that resulted in a severed artery, nerve damage, and a dozen torn tendons. By March 2004, however, Klassen had recovered enough to take two medals at the world single-distance championships.

After setting four world speed-skating records in 2005, when she was named Canada's female Athlete of the Year, Klassen arrived in Turin, Italy, for the 2006 Winter Olympics under the burden of heavy fan expectations. She easily handled the pressure, however, winning five medals to emerge as the Games' most successful woman and as the most-decorated Canadian Olympian of all time. She captured a gold medal in the 1,500 metres, silver medals in the team-pursuit event and the 1,000 metres, and bronze medals in the 3,000 metres and 5,000 metres. Her performance reflected strength, stamina, and the high degree of mental toughness that her fans had come to expect.

Less than a month later, at the world all-around championships in Calgary, Alta., Klassen won all four distances, added a world record in the 3,000 metres, and captured the overall title with a world record total of 154.580 points. Possibly her finest performance of the year, however, was on March 25 at the season finale in Calgary, when she finished the women's 1,000 metres in the world record time of 1 min 13.11 sec. Her time broke the world standard of 1 min 13.46 sec, which she had set in a trial heat one day earlier.