She later worked alongside Daria Nicolodi and Donald Pleasence in the Italian horror Phenomena (1985) directed by Dario Argento, where she played an American teenager who can communicate with insects, engaged in facing a ferocious killer in a muffled Swiss boarding school. , and in Seven Minutes in Heaven, playing the part of a model student who hosts a problematic friend of hers, much to the chagrin of her boyfriend.
She soon became known playing alongside David Bowie in Labyrinth-Where Everything Is Possible, a 1986 fantasy film by Jim Henson, now a cult even if at the time it had not met the hoped-for success. In Labyrinth, Connelly plays the role of a young girl who, frustrated by having to babysit her brother, calls the goblins to take him away, which she competes with carefully. This film, directed by Muppet creator Jim Henson and produced by George Lucas, sees the protagonist go on a discovery of the key to the Goblin King's maze and rescue his little brother, encountering bizarre monsters and all kinds of fantastic beasts along the way. David Bowie also wrote some songs, which he had films, said the girl reminded him of Elizabeth Taylor as a young man.
This was followed by Some Girls (1988), Michael Hoffman's directorial debut which would later continue with Restoration, Sin and Punishment and One Day by Chance. It was a bizarre black comedy in which student Patrick Dempsey goes to Quebec to spend Christmas with his girlfriend, Gaby D'Arc, played by Connelly. Upon his arrival, she declares that she no longer loves him, but he remains nearby to receive lessons in life and love from Gaby's handsome sisters, from his father who spends most of his time naked and from his grandmother, convinced that he is her late husband. Connelly continued her career internationally playing a dancer in the Italian film Étoile (1989).