Born in Vienna, Zweig was the son of Moritz Zweig, a wealthy Jewish textile manufacturer, and Ida (Brettauer) Zweig, the daughter of an Italian banking family. He studied philosophy and the history of literature, and in Vienna he was associated with the avant garde Young Vienna movement. Jewish religion did not play a central role in his education. "My mother and father were Jewish only through accident of birth," Zweig said later in an interview. Although his essays were published in the Neue Freie Presse, whose literary editor was the Zionist leader Theodor Herzl, Zweig was not attracted to Herzl's Jewish nationalism.
During the First World War he took a pacifist stand together with Romain Rolland from Switzerland, summoning intellectuals from all the world to join them in active pacifism, which actually led to Romain Rolland being awarded the Nobel Prize for literature. Zweig remained pacifist all his life but also advocated the unification of Europe before the Nazis came, which has had some influence in the making of the EU.
Like Rolland, he wrote many biographies but considered the one on Erasmus Rotterdamus his most important one, which he described as a concealed autobiography.
Zweig fled Austria in 1934 following Hitler's rise to power. He was famously defended by the composer Richard Strauss who refused to remove Zweig's name (as librettist) from the posters for the premiere, in Dresden, of his opera Die schweigsame Frau (The Silent Woman). This led to Hitler refusing to come to the premiere as planned; the opera was banned after three performances.
Zweig then lived in England (in Bath and London), before moving to the United States. In 1941 he went to Brazil, where in 1942 he and his second wife Lotte (née Charlotte Elisabeth Altmann) committed suicide together in Petrópolis using the barbiturate Veronal, despairing at the future of Europe and its culture. "I think it is better to conclude in good time and in erect bearing a life in which intellectual labour meant the purest joy and personal freedom the highest good on earth," he wrote. His autobiography The World of Yesterday is a paean to the European culture he considered lost.