Vengerov often plays a violin said to have been owned by the violinist Rudolphe Kreutzer
Twenty-two years later and he has played with some of the world's top musician all over the world.
However, speaking to BBC World Service's Music Review programme, Vengerov explains how the life of a virtuoso is not, in itself, satisfying and of his aims to soothe the children of the world.
"Classical music plays a more crucial role than ever," he explains.
"Music relaxes children - people are so over stressed now, they have to find escape, where people can find love and care. That is what I try to give to people."
Music therapy
Since 1990, when the 15-year-old won first prize at the Carl Flesch International Violin Competition, he has had the sort of career that most can only dream about.
In addition to securing an exclusive recording contract with EMI Classics he has received rave reviews for his Baroque violin performances, as well as his work as a soloist and conductor.
With such a demanding schedule it's difficult to believe that Vengerov would have time for much else in his life.
But at the age of 23 he became the first classical musician to become an envoy for music with the United Nations Children's Fund (Unicef).
He has recently travelled to Harlem, Uganda, Thailand and Bosnia where he has been teaching children the importance of music.
According to Vengerov, innocence is crucial to a child's understanding of music.
"They get this music like their nature, like it is a cold sweat - it comes to them straight without any obstacle."
"This new role has given me opportunities to bring music to disadvantaged children all over the world in the places where sometimes nobody would go," he adds.
Protégé
As a child performer, Vengerov practised the violin long and hard.
"Sometimes I was even like a robot," he claims.
"My teacher said that I had to practise three times more than other kids, because I had three times more talent."
Discipline and practise were crucial but there was another vital ingredient to Vengerov's early and continued success:
"One older man came to me and said 'Don't get too proud this is not you this is a God given talent and you are just an instrument'," he explains
This lesson continues to keep the performer grounded as he tours the world.
"I feel still that I am an instrument of this beautiful music," he enthuses.
" I am the lucky one because I can go on stage and give this music to everybody."