Upon graduation, she returned to New York City but a chance trip to Chicago inspired her to move there and become a part of its budding theatre community. It was in a production of "Curse of The Starving Class", directed by Robert Falls and co-starring John Malkovich, that she was first seen by the Steppenwolf Theatre Company and, subsequently, asked to join their troupe. She did and learned what it really was to be an actress on her feet, performing in all kinds of roles in both comedy and drama. During this time, she won four Joseph Jefferson awards for best supporting actress.

With a return move to New York, she received a Theatre World Award for "best newcomer" for her role in "the Philanthropist" at the Manhattan Theatre Club and appeared in "Extremities" with Susan Sarandon. This was followed by her appearance in the very successful Steppenwolf production in New York of "Balm in Gilead". She then starred on Broadway opposite Kevin Kline and Raul Julia in "Arms & the Man", directed by John Malkovich, her husband at the time.

She was cast in several smaller films including "Nadine" (1987), "Making Mr. Right" (1987) and "Paperhouse" (1988) as well as "Lonesome Dove" (1989) for television for which she received her first of two Emmy nominations for best supporting actress. But her breakout film performance was in "Dirty Rotten Scoundrels" (1988), in which she played the cunning "victim", who gets the best of con artists Michael Caine and Steve Martin. This led to her being cast in the blockbuster comic strip parody, "Dick Tracy" (1990), in which she portrayed the girlfriend, "Tess Trueheart", to Warren Beatty's lead.

She went on to appear in the films "Mr. Holland's Opus" (1995) opposite Richard Dreyfuss, "Mortal Thoughts" (1991) opposite Demi Moore, "2 Days in the Valley" (1996), "What's the Worst That Could Happen?" (2001), "Breakfast of Champions" (1999), "Around the Bend" (2004) and "Confessions of a Teenage Drama Queen" (2004).

On television, she had a recurring part on "ER" (1994) and "Monk" (2002) and was in the short-lived sit-com "Encore! Encore!" (1998) with Nathan Lane and Joan Plowright. She was in the live theatrical presentation of "On Golden Pond" as the troubled daughter of Christopher Plummer and Julie Andrews and also appeared in the telefilms "Women vs. Men" (2002) (TV), "My Own Country" (1998) (TV) and "Pronto" (1997) (TV), among others. She received her second Emmy nomination for best supporting actress for "Bastard Out of Carolina" (1996), directed by Anjelica Huston.

Her most recent appearances were in the films "The Amateurs" (2005) (aka "The Amateurs"), "The Namesake" (2006), "Comeback Season" (2006), "Kit Kittredge: An American Girl" (2008) and "The Joneses" (2009).

For the past fourteen years, Headley has said that family has been the most important thing to her and she has set most of her time aside to be a "present" mother to her son. Movies, plays and television are chosen, for the most part, when they occur in town or on a school break. She has taken the current year to homeschool her son for his seventh grade. But it wasn't always this way.