Delpy was born in Paris, the daughter of Albert Delpy and Marie Pillet, both of whom were actors in both feature films and in the avant-garde underground theater; her father grew up in Vietnam, Cambodia and West Africa, where her paternal grandfather worked in administrative positions in the French colonial government. Encouraged to perform by her bohemian-minded parents, Delpy made her stage debut at the age of 5, and at 14 obtained a role in the film Detective, directed by Jean-Luc Godard.

Two years later, Delpy was cast in the title role in the film La Passion Béatrice, and used the money she earned to pay for her first trip to New York City. Delpy continued making regular trips to New York over the next few years, before finally moving there in 1990.

Delpy gained international celebrity after starring in the 1991 film Europa Europa, with her portrayal of a pro-Nazi girl, Leni, who falls in love with the hero, Solomon Perel, not knowing that he is Jewish. Delpy was subsequently offered to appear in several Hollywood and European films. In 1993, she was cast by director Krzysztof Kieślowski to play the female lead in Three Colors: White, the second film of Kieślowski's Three Colors Trilogy; Delpy also appeared in the other films in the series, albeit in smaller sized roles.

Delpy, who has had an interest in a career as a film director since her childhood, enrolled in a summer directing course at New York University; she made her directorial debut in 1995, with a short film entitled Looking for Jimmy, which she also wrote and produced.

Delpy may be best known in the United States for her co-starring role with Ethan Hawke in director Richard Linklater's 1995 film, Before Sunrise. The film received glowing reviews [1] and was considered one of the most interesting films of the independent film movement of the 1990s. Its success led to the casting of Delpy in the 1997 American film, An American Werewolf in Paris, which was generally considered a disappointment by critics [2].

Delpy reprised her Before Sunrise character, Celine, in a 2004 sequel, Before Sunset. The film was well-received and earned Delpy, who co-wrote the script, her first Academy Award nomination for Writing Adapted Screenplay.

Delpy is also an accomplished musical artist. She released a self-titled CD in 2003. Three tracks from the album, "A Waltz For A Night", "An Ocean Apart" and "Je T'Aime Tant" were featured in Before Sunset.

Delpy currently resides in Los Angeles and has been a naturalized United States citizen since 2001, although she also retains her French citizenship.