Hennessy began her acting career in Toronto, appearing in the feature film Dead Ringers. She studied improvisational comedy with the famed Second City and also worked with a Toronto-based improv comedy troupe before landing a role in the Broadway-bound production of The Buddy Holly Story. Once in New York, Hennessy starred in Ron Howard's feature film The Paper, and her additional film credits include I Shot Andy Warhol, Chutney Popcorn, Most Wanted, A Smile Like Yours, Dead Broke, Row Your Boat, The Florentine, Two Ninas, Komodo, Autumn in New York and the box-office hit Exit Wounds. She also wrote, directed, produced and performed in her own movie, The Acting Class. Hennessy was last seen on the big screen in the Robert Redford/Sundance Lab project, Love in the Time of Money.
Hennessy was seen on the big screen as the female lead in Wild Hogs with Tim Allen, John Travolta, Martin Lawrence, and William H. Macy. Wild Hogs is the comedic story of a group of middle-aged wannabe bikers looking for adventure on the open road, but who instead encounter a chapter of the Hell's Angels. The film is directed by Walt Becker for Disney. Television audiences first came to love Hennessy from the years (1993-96) she spent playing the role of assistant district attorney Claire Kincaid on the Emmy-winning NBC drama series Law & Order.
She returned to NBC starring as First Lady Jacqueline Kennedy in the miniseries Jackie, Ethel, Joan: Women of Camelot. In her first Season of Crossing Jordan, Hennessy received a People's Choice Award nomination for Best Actress in a Drama Series. She has also received a Golden Satellite Award (Best Performance by an Actress in a Miniseries or a Motion Picture Made for Television) from the International Press Academy for her work in the TNT cable movie Nuremberg. Hennessy, her husband Paolo Mastropietro and their son Marco divide their time between their homes in Los Angeles and Manhattan.