Cross was Born in Czernowitz. She began her music studies in Czernowitz and in her teens she was sent to Vienna. There she continued studying music history and theory. Cross studied piano with Eduard Steuermann and Anton Webern. In 1933, at the age of thirty-one she made her first solo appearance with the Wiener Konzertorchester. In 1938, when the Nazis took over Austria, she went in exile in Great Britain. There she headed the Chair at the Royal Academy of Music (London). For her outstanding interpretation of contemporary music she was awarded the Brahms Prize.