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 father was of Irish Catholic and Norwegian descent, and Connelly's mother was Jewish, a descendant of immigrants from Russia 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.
Connelly became a star with her next picture, the fantasy Labyrinth (1986), playing Sarah, a teenager who wishes her baby brother into the world of goblins ruled by goblin king Jareth (David Bowie), where she then must journey to retrieve him; the film disappointed at the box office, but became a cult classic in later years with a large fan following still in existence. Connelly starred in several obscure films, such as Etoile (1988) and Some Girls (1988). The Dennis Hopper-directed The Hot Spot (1990) was not a success, critically or commercially; it would be the first of seven movies in which she appeared nude.
Connelly was featured on the cover of Esquire in August 1991, as part of the "Women We Love" feature. She appeared alongside Jason Priestley in the Roy Orbison music video for "I Drove All Night" in 1992.
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