Nielsen’s feature film debut was the Jerry Lewis French film Par où t’es rentré ? On t’a pas vu sortir in 1984, followed by a role in the Italian mini-series Colletti Bianchi in 1988. She appeared in the Italian film Vacanze di Natale ’91 (1991) and the French film Le Paradis Absolument (1993).

She moved to the United States in the mid-1990s and made her first appearance in a major English-language film in 1997 as Christabella Andreoli in The Devil’s Advocate, starring opposite Al Pacino and Keanu Reeves. This first minor breakthrough led to roles in the films Permanent Midnight (1998), Rushmore (1998), and Soldier (1998).

In 2000, Nielsen appeared as Lucilla in Ridley Scott’s Gladiator, starring opposite Russell Crowe and Joaquin Phoenix. Since then, she has starred in American films including Mission to Mars (2000), One Hour Photo (2002), The Hunted (2003), and Basic (2003), for which she had to cut off most of her hair. She also starred in the French thriller Demonlover (2002), directed by Olivier Assayas. She played the Irish mother to an orphan in A Shine of Rainbows (2009).

In 2004, Nielsen made her Danish film debut in the drama, Brødre (also known as Brothers), for which she won the Danish Best Actress Award, the Bodil, as well as Best Actress at the San Sebastian International Film Festival. She was also nominated for Best Actress at the European Film Awards. In 2006, Nielsen appeared in several episodes of Law & Order: Special Victims Unit as Detective Dani Beck. She filled in for Mariska Hargitay, who was on maternity leave at the time of filming.

From 2004 to 2012, Nielsen dated Metallica drummer and fellow Dane Lars Ulrich. They have one son together, Bryce Thadeus Ulrich-Nielsen (born 21 May 2007, in San Francisco, California). She has an older son from her previous relationship with Fabio Sartor.

With Charlotte Gainsbourg, Jamie Bell and Uma Thurman, Nielsen appeared in the 2014 Lars Von Trier film Nymphomaniac. She was featured in a series of promotional posters prior to the film’s release, a campaign The Independent described as “shocking”, observing that “Connie Nielsen appears somewhat moist in this poster for Nymphomaniac”.

In 2015, she appeared on the TV-2 album Det gode liv where she sang along with Steffen Brandt on the track “Brev til Mona”. In September 2018 she appeared as a cast member of the CBS drama FBI with Jeremy Sisto and Missy Peregrym.