Klein relocated from Australia to London at a young age. She now lives in Italy and the UK, having homes and studios in both countries. Klein studied painting at Chelsea and the Slade Schools of Art, going on to complete a post-graduate diploma in Printmaking in 1985. Her prints and paintings are clearly recognizable and her work is mainly autobiographical, often including her husband and two daughters. She was elected President of the Royal Society of Painter-Printmakers in 2003 and her work is regularly exhibited at the Royal Academy of Arts.