Born in Dundee, Scotland Macgregor attended University of Edinburgh and graduated with a Masters in the History of Arts. She subsequently completed a diploma in Museum and Gallery Studies in Manchester. On completing her studies, her first job was with the Scottish Arts Council for whom she was curator and driver of their mobile art gallery. She then worked for the Arts Council of Great Britain for three years, before spending ten years as director of the Ikon Gallery in Birmingham. Macgregor was appointed director of the Museum of Contemporary Art in 1999 and moved to Sydney. Macgregor was awarded a Centenary Medalin 2001 for "service to Australian society and contemporary art". In the 2011 Queen's Birthday Honours Macgregor was appointed an Officer of the Order of the British Empire in the Diplomatic Service and Overseas List for "service to contemporary art". She is also a Fellow of the Royal Society of New South Wales. She was named NSW Creative Laureate for 2016 jointly with Carriageworks. When speaking of this award she said: "Creativity is the key to innovation, and innovation drives growth, sustainability and prosperity, enriching NSW's – and Australia's – cultural capital." Also in 2016 Macgregor was elected President of the Board of the International Committee for Museums and Collections of Modern Art for a three-year term. Macgregor contributed a chapter titled "Investment in Culture: Folly or Necessity? in the 2006 publication, Talking About Sydney: Population, community and culture in contemporary Sydney, edited by Robert Freestone, Bill Randolph and Caroline Butler-Bowdon. She contributes the forewords for books on artists and exhibitions produced by the MCA. She also contributed an essay, "A Tale of Two Cultures", to Essentially Creative, edition 23 of the Griffith Review. Macgregor has established a strong working relationship with the Tate in London, resulting in the joint acquisition of works by 15 Australian artists. Macgregor's contribution to the Australian art scene was recognised further by winning the Arts, Culture and Sport category of the 2019 AFR 100 Influential Women.
