When she was still in high school, she went to New York to visit an aunt. It was while on this visit, she was hired to be a Ziegfeld showgirl. She stayed with Ziegfeld and other Broadway shows until 1927 when she was discovered by B.P. Schulberg, the production head of Paramount. She packed her bags and followed him out to Hollywood.
Peggy, to put it gently, worked her ass off. She would sometimes work on a film 10 to 16 hours a day! And other times when she would finish one film, she would have to go right into making another one.
In 1934, she went back to New York to appear in a few more Broadway shows. She only lasted about a year before dropping out to what she claimed was a tooth infection, but others knew was really her alcoholism.
She soon couldn't hide the fact that she was an alcoholic, and so the job offers got fewer and fewer. She made her last film appearance in 1940 in the film Triple Justice.
Peggy was married twice. Her first husband was Alan Davis in 1926. They divorced in 1940. Her second husband was cameraman Albert Roberts who she married months after her first divorce. They were married until her death. Sadly, three weeks after Peggy died, her husband shot himself in the same spot where she had died. His suicide note read, "I am very much in love with my Peggy Shannon. In this spot she died, so in reverence to her, you will find me in the same spot." He was not buried next to her though. He was buried at Forest Lawn in Glendale.
She was interred at the Hollywood Forever Cemetery.
In July of 1938, apparently she and her sister were both injured in a car accident when they hit another car head on.
While she was a film actress, Peggy was quite the fashion plate. She liked to sport the newest styles before they came into fashion. Fans looked to her to find out what the new looks were.
After her daughter died, and then her son in law, she demanded a police investigation into the matter. She wanted private investigates to really look into how her daughter died.