Konchalovsky was born in the village of Slavianka. His father was an art publisher and in 1889 the family moved to Moscow where they became a central part of the art scene. Their house was often visited by Valentin Serov, Mikhail Vrubel, Vasily Surikov, whose daughter Petr later married.
Konchalovsky attended classes at the Moscow School of Painting, Sculpture and Architecture and in 1896 he traveled to Paris and studied at the Académie Julian. In 1899, he returned to Russia and entered the Imperial Academy of Arts in Saint Petersburg, graduating in 1907.
From 1909, he exhibited frequently, participating in the "Golden Fleece", "Fraternity", "Mir Iskusstva", and the New Society of Artists. He was a founding member of the Jack of Diamonds Society in 1909. During this period, he mostly drew still lifes and landscapes. His paintings were strongly influenced by Paul Cézanne. Later he started to paint portraits that were considered as the examples of Socialist Realism style.