Connelly was born in the Catskill Mountains of New York, the daughter of Ilene, an antiques dealer, and Gerard Connelly, a clothing manufacturer who worked in the garment industry. Connelly's paternal grandparents were of Irish Catholic and Norwegian descent, respectively, while her maternal grandparents were Jewish, their families having come from the Russian Empire and Poland (Connelly's mother was schooled in a yeshiva).
Connelly was raised in Brooklyn Heights, near the Brooklyn Bridge, and attended St. Ann's private school, except for four years the family spent living in Woodstock, New York. One of her father's friends was an advertising executive, who suggested that she audition at a modeling agency.
At the age of ten, Connelly's career started in newspaper and magazine ads, then moved to television commercials. These led to movie auditions and her first film role was as "young Deborah Gelly", a supporting role in Sergio Leone's 1984 gangster epic, Once Upon a Time in America, filmed mostly in 1982 when she was eleven. She next starred in Italian horror-director Dario Argento's Phenomena (1985) and in the coming-of-age movie Seven Minutes in Heaven.
She appeared alongside Jason Priestley in the Roy Orbison music video for "I Drove All Night" in 1992. Connelly began studying English at Yale, and two years later transferred to Stanford. The big-budget Disney film The Rocketeer (1991) similarly failed to ignite Connelly's career; after its failure, she took some time off from acting. The 1996 independent 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 critically favored 1998 science fiction film Dark City afforded her the chance to work with such actors as Rufus Sewell, William Hurt, Ian Richardson, and Kiefer Sutherland. Connelly revisited her ingenue image, although in a more understated way, for the 2000 biopic Pollock, in which she played Jackson Pollock's mistress.
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