Pym was born in Brymore, Somerset, into minor nobility. His father died when he was very young and his mother re-married, to Sir Anthony Rous. Pym was educated in law at Broadgates Hall (now Pembroke College, Oxford) in 1599 and went on to the Middle Temple in 1602. He entered politics through the influence of the Earl of Bedford, working for the Exchequer in Wiltshire before entering Parliament for Calne, Wiltshire in 1614. Despite his Puritanism he gained a good reputation in Parliament, although he was relentless in his campaigning against Roman Catholics. In that same year he married Anne Hooke and they had five children. After the dissolution of Parliament in 1621 he was one of those placed under house-arrest in January, 1622. In 1624 he changed his seat, representing Tavistock, Devon for the rest of his career. In 1626 he was one of the main movers of the attempted impeachment of George Villiers, 1st Duke of Buckingham, an action that led to the dissolution of that Parliament. In the interval between Parliaments he was treasurer of the Providence Island Company from 1630.
In the Short Parliament of April 13 to May 4, 1640 he made one of the speeches that led to its dissolution. What would become the Long Parliament first met in November 1640, Pym had avoided an accusation of treason and rose to leader of the opposition to the king. Pym was notable in defending the powers of Parliament, he initiated the legal attacks on Thomas Wentworth and William Laud and attacked the operation of the Star Chamber. When control of the army became an issue, Pym directed the house's defiance and helped draft the "Grand Remonstrance" of grievances, presented to the King on December 1, 1641. Pym was one of five members sought for arrest when the King entered the House of Commons on January 5, 1642 but forewarned they had already fled, to return to some acclaimation a week later.
When the English Civil War began, Pym became involved in the financial problems, heading the Committee of Safety from July 4, 1642. He was a key organiser of the needed loans and taxes, and negotiated the Solemn League and Covenant which gained the support of Scottish Presbyterians. He died, probably of cancer, at Derby House in 1643 and was buried in Westminster Abbey. Following the Restoration of 1660, his remains were exhumed, despoiled and finally re-buried in a common pit.