Leigh appeared in the 2008 documentary Chelsea on the Rocks.
Leigh appeared in the 2009 documentary Napoli, Napoli, Napoli. That same year, she portrayed Helen Gillis in the Michael Mann film Public Enemies.
Leigh starred opposite Willem Dafoe in 4:44 Last Day on Earth (2011).
Leigh appeared alongside Gerard Depardieu in Welcome to New York (2014).
Leigh was in a relationship with filmmaker Abel Ferrara.