Leo appeared in a variety of films and television shows. She won the Academy Award for Best Supporting Actress in the 2010 sports film The Fighter. Her other film appearances include 21 Grams, Hide and Seek, Frozen River (which nominated for the Best Actress Category in the Academy Awards), Oblivion (with Morgan Freeman) and Prisoners. Her recent film appearance is The Equalizer (directed by Antoine Fuqua), the remake of a TV show Leo once guest starred in. She also appeared in The Equalizer 2 (also directed by Fuqua).
Leo also starred for five seasons in the NBC show Homicide: Life on the Street. She currently stars in the HBO drama Treme. She also made guest appearances in various shows, such as Miami Vice, Law & Order, Veronica Mars, CSI: Crime Scene Investigation, Law & Order: Criminal Intent, Criminal Minds and Cold Case.