After appearing on several television shows and films in the 1980s, a regular on the television shows All My Children and The Young Riders, in 1985 she was nominated for a Daytime Emmy Award for her performance on All My Children. Her breakthrough role came in 1993 as Det. Sgt. Kay Howard on the television series Homicide: Life on the Street for the show’s first five seasons (1993–97).
Leo received critical acclaim for her performance as Ray Eddy in the 2008 film Frozen River, earning several nominations and awards, including an Academy Award nomination for Best Actress. In 2010, Leo won several awards for her performance as Alice Eklund-Ward in the film The Fighter, including the Golden Globe, SAG, and Academy Award for Best Supporting Actress.
In 2013 she won the Emmy Award for her guest-role on the television series Louie. She starred in the 2015 Fox event series Wayward Pines as Nurse Pam. She starred in Netflix’s 2017 film The Most Hated Woman in America as American Atheists founder Madalyn Murray O’Hair.