She was born María Coronel y de Arana, the daughter of Francisco Coronel, a
converso of Jewish descent, and Catalina de Arana, in
Ágreda, a town located in the
Province of Soria. The couple had 11 children, of whom only four survived into adulthood: Francisco, José, María and Jerónima. Maria later described her mother as the more lively of the two, though both were very fervent in their faith. The family had close ties with the
friars of the Friary of San Julián, which lay on the outskirts of the town. Either the mother would go to the friary with her children for
confession, or the friars would visit the family home. Nonetheless, Mary later recalled that, as a very young child, she felt her parents were very hard on her.
Mary of Jesus' biographer and contemporary, the
bishop José Jiménez y Samaniego, was a longtime friend of the Coronel family, and testified that even as a young girl Mary was filled with divine knowledge. From her early years, he wrote, she had ecstasies and visions in which she felt that God was instructing her about the sinfulness of the world, a conviction which would last throughout her life.
 At the age of four, she was
Diego de Yepes, a bishop and the biographer and last
Teresa of Avila, who was reportedly impressed with the child's spiritual acumen.
 It was at this point in her life that she felt a growing warmth in her parents' attitudes toward her.
When Mary of Jesus was twelve, she made the decision to enter a monastery, having decided upon that of the
Tarazona. As her parents prepared to accompany her there, Catalina de Arana had a vision that she was to turn the family home into a monastery in which both she and her daughters were to commit their lives as nuns. While the young María was agreeable to this arrangement, her father refused to go along with it. In this he was supported by his brother, Medel, as well as by their neighbors, who all considered this arrangement a violation of their marriage vows. His resistance lasted for three years, until in 1618, then considered an older man in his early fifties, he (and later his brother) entered the
Franciscan Friary of San Antonio in
Nalda as a
lay brother. Her brothers, who had already become friars, continued their studies toward the
Catholic priesthood in
Burgos. Mary of Jesus later recalled that this period had been one of severe trial for her spiritual life and had led to a certain sense of vanity.
A view of the Monastery of the Immaculate Conception founded by the Venerable María de Jesús de Ágreda with a statue of her in front
Catalina and her daughters then converted their family home into the
Monastery of the Immaculate Conception, to be a part of the Order of the Immaculate Conception. The choice of this Order was a part of the huge devotion to the
Immaculate Conception of Mary which marked Spanish spirituality of that period. They began this endeavor as part of the Discalced—or reformed—branch of the Order. Unfortunately, there were no monasteries of this branch in the region, so three nuns of the original Calced branch were brought from their monastery in Burgos to serve as the abbess of the community and to train them in the life of the Order. Mary of Jesus later judged that this had given a bad start to the enterprise, as these nuns were to teach them a way of life they had neither known nor practiced. Mary of Jesus was 16 when she and her mother and sister took the
religious habit of the Order and she was given the
religious name by which she is now known. She felt, though, that she had to make up for her years of laxity during the period of contention between her parents and the delay in the foundation of the monastery resulting from it.
As other women soon joined the community, the monastery was rebuilt (and completed in 1633), although when reconstruction began the community's coffers contained 24
reales (approximately 2.5 Spanish dollars at the time), supplemented by a donation of 100 reales from devotees and many other gifts and hours of voluntary labor. Once she had made her
religious profession in 1620, Mary of Jesus began to experience a long period of illness and temptations. After her mother's death, Mary of Jesus, then aged 25, was appointed the Superior
locum tenens, after which her fellow nuns elected her as their abbess. Though rules required the abbess to be changed every three years, Mary remained effectively in charge of the monastery until her death, except for a three-year sabbatical in her fifties.
Throughout her life, Mary of Jesus was inclined to the "internal prayer" or "
quiet prayer". Like her countrywoman Teresa of Avila a generation earlier, these prayerful experiences led to religious ecstasies, including reported accounts of
levitation. As this form of prayer was practiced frequently among women, the Inquisition kept a watchful eye on those who advocated the practice.