Although she has been working in the film industry since she was a teenager, and was catapulted to fame on the basis of her appearances in films like Labyrinth and Career Opportunities, she did not receive critical acclaim for her work until the 2000 drama Requiem for a Dream, and the 2001 biography A Beautiful Mind, for which she won an Oscar for Best Supporting Actress.

Connelly was born in the Catskill Mountains, New York to Gerard and Eileen Connolly; Connelly's father, a clothing manufacturer is a Catholic of Irish and Norwegian descent, while her mother, an antiques dealer, comes from a family of Jewish immigrants from Russia and Poland. Connelly was raised in Brooklyn Heights, Brooklyn near the Brooklyn Bridge, attending St. Ann's School, except for four years the family spent living in Woodstock, New York. One of her father's friends through the garment trade was an advertising executive, who suggested that she audition at a modelling agency. At the age of 10, her career started in newspaper and magazine ads, then moved to television commercials.

Her first film role was as "young Deborah Gelly," a small part in Sergio Leone's 1984 gangster epic, Once Upon a Time in America. She next starred in cult Italian horror director Dario Argento's Phenomena (1985) and in the coming-of-age movie Seven Minutes in Heaven.

Connelly became a star on her next picture, the fantasy Labyrinth (1986). Connelly played Sarah, a teenager who wishes her baby brother into the world of goblins ruled by goblin king Jareth (David Bowie). Through a series of adventures reminiscent of Alice In Wonderland, The Muppets and Monty Python, Sarah does indeed manage to rescue her brother. A product of the talents of Jim Henson, George Lucas, ex-Monty Python member Terry Jones and designer Brian Froud, the film underperformed at the box office, but enjoys a cult following today.

Connelly seemed stuck as to how to follow up on this success. She made a Japanese pop record and starred in several obscure films, such as Etoile (1988) and Some Girls (1988). The Dennis Hopper- directed The Hot Spot (1990) was underwhelming, both critical and commercially. Another film, Career Opportunities, was more successful and is considered a teen cult classic. It and Hot Spot threatened to typecast her in the "sexpot" stereotype with both films emphasizing her voluptuous figure, particularly Hot Spot which contained her first topless scene.

She began studying English at Yale, but transferred two years later to Stanford. She did not graduate from either institution.

The big-budget Disney film The Rocketeer (1991) similarly failed to ignite Connelly's career.

The moody 1996 indie film Far Harbor played her against type and hinted at a much broader range than she had previously shown. Connelly began to appear in smaller but well regarded films, such as 1997's Inventing the Abbotts and 2000's Waking the Dead. She played a collegiate lesbian in John Singleton's 1995 ensemble drama, Higher Learning. The 1998 science fiction film Dark City, which is well-regarded by critics, afforded her the chance to work with such actors as Rufus Sewell, William Hurt, Ian Richardson and Kiefer Sutherland. Connelly revisited her ingenue image again, though in a more understated way, for the 2000 Jackson Pollock biopic Pollock, in which she played the title character's mistress.

Having long been known more for her curvy figure than her considerable talents, Connelly had drastically slimmed down by the dawn of the 21st century, opening up a new career for her. Arguably, Connelly's big breakthrough finally came in the 2000 film Requiem for a Dream. The haunting, experimental film starred Connelly and Jared Leto as heroin addicts on the edge of a breakdown. The film, which was a success with critics (if not at the box office), firmly established her as a serious actress. It also marked the first time she showed lower frontal nudity in a motion picture.

Connelly's star was on the rise, and she next starred in Ron Howard's film A Beautiful Mind (2001). Connelly essayed the role of Alicia Nash, the long-suffering wife of the brilliant, schizophrenic mathematician John Nash, (played by Russell Crowe.) The film, based on real life events, was a critical and commercial success and earned Connelly an Academy Award for Best Supporting Actress.

Connelly starred in two films in 2003: The Hulk and House of Sand and Fog. The Hulk was something of a box office disappointment, but afforded Connelly the chance to work with noted director Ang Lee. House of Sand and Fog, based on the novel by Andre Dubus III, was reminiscent of much of her independent film work of the late 1990s.

Connelly's most recent movie is the 2005 horror film Dark Water, which was based on a Japanese film.

Connelly is married to the English actor Paul Bettany, whom she met while working on A Beautiful Mind; the couple's son, Stellan (named after actor Stellan Skarsgård), was born August 5, 2003. She also has a son, Kai (born July 1997), from a relationship with photographer David Dugan.