Connelly was selected for a supporting role as the aspiring dancer and actress Deborah Gelly in Sergio Leone's 1984 gangster epic Once Upon a Time in America. The role required performing a ballet routine. During the audition, Connelly, who had no ballet training, tried to imitate a ballerina. Her performance, and the similarity of her nose to Elizabeth McGovern's, who played the character as an adult, convinced the director to cast her.
In the neo-noir crime thriller Mulholland Falls, which featured the murder of Allison Pond (Connelly), mistress of General Timms (John Malkovich), and the investigation by a group of detectives led by Maxwell Hoover (Nick Nolte).
New York magazine wrote about a clip that reveals the link between Timms and Pond:
This footage is actually dirty. That is, it makes us feel like voyeurs when looking at it, but it’s so juicily erotic that we can hardly look away.
About nudity in the movie, Connelly said:
It kind of shocked everyone who knows me that I wound up doing this movie, because I had always been so careful about nudity, it was very much a part of this character and I couldn’t be coy or guarded or self-conscious—otherwise it wouldn’t work. It was sort of a challenge I wanted to take on, I guess.