Connelly was born in the Catskill Mountains, New York, to Eileen, an antiques dealer, and Gerard Connelly, a clothing manufacturer who worked in the garment industry. Connelly's paternal grandfather was Irish American and her paternal grandmother was a Norwegian American; her maternal grandparents were Jewish, their families having come 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 was an advertising executive, who suggested that she audition at a modeling agency. At the age of ten, her career started in newspaper and magazine ads, then moved to television commercials. These led to movie auditions and at the age of fourteen, 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. She next starred in Italian horror director Dario Argento's Phenomena (1985) and in the coming-of-age movie Seven Minutes in Heaven.