Educated at the University of Vermont (B.A., 1969) and Sir George Williams University, Montreal, Canada (M.A., 1973), Proulx settled in northern Vermont and later in Wyoming. She lived close to the land, about which she wrote frequently in freelance articles for such magazines as Gourmet. After publication of her first short-story collection, Heart Songs, and Other Stories (1988), Proulx turned to writing novels, which better accommodated her dense plots and complex characterizations. Postcards (1992), her first novel, uses the device of picture postcards mailed from the road over 40 years' time to illustrate changes in American life. The postcards are sent by Loyal Blood, who accidentally kills his girlfriend and abandons his family and their meager Vermont farm, escaping to a life of picaresque adventures.

In The Shipping News (1993; film 2001), the protagonist Quoyle and his family, consisting of two young daughters and his aunt, leave the United States and settle in Newfoundland, Canada, after the accidental death of his unfaithful wife. The Shipping News was awarded both a Pulitzer Prize and a National Book Award. Proulx's next novel was Accordion Crimes (1996), which examines the immigrant experience by tracing the life of an Old World accordion in the United States.

Close Range: Wyoming Stories (1999) is a collection of stories set in the harsh landscapes of rural Wyoming. It includes Brokeback Mountain, the story of two ranch hands, Jack Twist and Ennis del Mar, whose friendship becomes a sexual relationship during a summer spent tending sheep in the 1960s. Afterward they pursue the traditional heterosexual lives expected of them but experience a lifetime of longing for each other. Originally published in The New Yorker magazine in 1997, Proulx's story was adapted as the film Brokeback Mountain (2005), directed by Ang Lee with a screenplay by Larry McMurtry (McMurtry, Larry) and Diana Ossana. In 2002 Proulx published the novel That Old Ace in the Hole about a man who scouts the Texas Panhandle for land to be acquired by a major corporation. Bad Dirt: Wyoming Stories 2 (2004) and Fine Just the Way It Is: Wyoming Stories 3 (2008) are collections of short stories.