She studied at the Sibelius Academy and earned a Bachelor of Arts at the Helsinki University. She made her breakthrough as a singer in Sweden. She has made albums with Swedish translations of songs by Mikis Theodorakis, as well as covers of Zarah Leander songs.
In 1978 she issued Miten voi kyllin kiittää, an album of Finnish translations of the songs of the Chilean composer and singer Violeta Parra. A Swedish version, Jag vill tacka livet, came out the following year. The title song, "Jag vill tacka livet" ("Gracias a la vida") was one of her greatest hits. Swedish prime minister Olof Palme had been a close friend, and his widow wanted Arja to sing at the funeral in 1986. She sang Enai Megalos O Kaimos in Swedish. In 1987, she participated at Melodifestivalen with the song "Högt över havet", ending up second. The same year, she scored a Svensktoppen hit with the song Jag vill leva i Europa.
As a politician, she has been a member of the Swedish People's Party in Finland, and in 1987 she was appointed UNHCR Goodwill Ambassador. She has written a Norwegian-language book, Sauna, about the Finnish sauna tradition.
She appeared in the first season of Let's Dance, the Swedish version of Strictly Come Dancing in 2006. Her professional partner was Tobias Karlsson, aged 28, and they were eliminated in the 7th week. In December 2007, Saijonmaa participated in the Swedish reality show Stjärnorna på slottet along with Peter Stormare, Britt Ekland, Jan Malmsjö and Magnus Härenstam.
She participated in Melodifestivalen 2019 with the song "Mina fyra årstider".
Saijonmaa is both Finnish and Swedish voice actor of Emma the Stage Rat in the Finnish-British animated television family drama Moominvalley