She then began appearing as extras in high name productions like Mona Lisa Smile and The Happening. It was then that she began to take on speaking roles, working her way into more notable productions. Connolly attended middle school with fellow actor Zach Braff and singer Lauryn Hill. Her younger brother is Will Connolly, a composer and actor. In college, she studied drama at Middlebury College, which is located in Vermont, before transferring to the Yale School of Drama, which is located in New Haven, Connecticut.