Born in London in 1965, Little studied at the Yehudi Menuhin School (where Nigel Kennedy was a classmate) and the Guildhall School of Music, where she was a gold medal winner. She later studied privately in Toronto with Lorand Fenyves. The year 1988 marked two important debuts: a recital at London's Purcell Room with the pianist Piers Lane (who has remained a frequent chamber music partner), and her solo debut with the Hallé Orchestra. During the 1990s, Little built a solid international reputation, often working with Kurt Masur, Simon Rattle, Vladimir Ashkenazy, Andrew Davis, and other renowned conductors, and presenting unusually personable recitals in which she engages directly with the audience in discussion of the music. During the same period, Little began a prodigious recording career, appearing on excellent issues from EMI, Chandos, Decca, Virgin, and Hyperion. The real breadth of her repertory comes into focus when examining her discography, which includes a range of concertos (Brahms, Bruch, Delius, Dvorák, Lalo, Sibelius, Walton, and others); chamber works by Debussy, Poulenc, and Ravel; and a variety of miniatures. She has been particularly associated with the music of Frederick Delius, about whom she produced a television documentary (BBC2's The Works). She was awarded the Diapason d'Or for her recording of Delius' sonatas, and the Delius Society published her scholarly paper on the composer's Violin Concerto. Another documentary in 2008 followed her creation of The Naked Violin, a solo recital program offered for free internet download. Her 2010 Chandos recording of the Elgar Violin Concerto was named "Critics Choice" at the 2011 Classics BRIT Awards. Appointment as Officer of the Order of the British Empire followed in 2012, and Little's recording career, centered on the Chandos label, continued without flagging. In 2016 she released a triple-CD cycle of Beethoven's violin-and-piano sonatas with Martin Roscoe, and she recorded music from Strauss and Respighi to Ravel, as well as the violin favorite The Lark Ascending of Ralph Vaughan Williams. She remained best known for her performances of British music, and she was well-positioned to take advantage of the rise in popularity of tonal British repertoire. In 2015 she joined the Delius Suite for violin and orchestra to the rare Violin Concerto in G minor, Op. 80, of African-British composer Samuel Coleridge-Taylor and a concerto by "light music" (or easy listening) composer Haydn Wood. A fan favorite by the mid-2010s, she was also tapped for crossover projects like A Violin for All Seasons (2016).
Little has taught at her alma mater, the Guildhall School of Music. In 2016 she was granted honorary membership in the Royal Academy of Music.