Her father, an English police officer, was sent to train police in Bermuda where Headey was born. The family returned to Huddersfield, West Yorkshire, when she was eight years old. She got her first taste of acting as a pupil at Shelley College and got her big break at the age of 17 when she was spotted performing in a school production at the Royal National Theatre and was picked for a role opposite Jeremy Ironsin the 1992 film Waterland.

This was followed by roles in James Ivory's Academy Award-nominated The Remains of the Day (alongside Anthony Hopkinsand Emma Thompson, Stephen Sommers' The Jungle Book, Mrs Dalloway, Gossip, Aberdeen, The Parole Officer, Possession and Ripley's Game. Most recently, Headey co-starred with Matt Damon and Heath Ledgerin Terry Gilliam's The Brothers Grimm, and played Queen Gorgo in Zack Snyder's 300, based on Frank Miller's graphic novel. She also appeared in two films with close friend Piper Perabo: The Cave and Imagine Me & You. Next up is The Red Baron with Joseph Fiennes

In addition to her film work, Headey is currently headlining FOX's Terminator: The Sarah ConnorChronicles, a television spin-off from James Cameron's popular Terminator franchise.

Headey dated actor Jason Flemyng for nine years. She and Flemyng met during the filming of The Jungle Book. She married Pete Paul on May 19, 2007 and is close friends with actress Piper Perabo, her co-star in The Cave and Imagine Me & You. She is currently a resident of California, USA.