Connelly was born in the Catskill Mountains of New York state, the daughter of Ilene, an antiques dealer, and Gerard Connelly, a clothing manufacturer. Her father was a Roman Catholic whose ancestors were Irish and Norwegian, while her mother was a yeshiva-educated Jew descended from Russian and Polish immigrants. She was at first raised in Brooklyn Heights, near the Brooklyn Bridge, where she attended St. Ann's, a private school focused on the arts. The family then moved to Woodstock, New York where they spent four years. On their return to Brooklyn Heights, Connelly resumed her education at Saint Ann's.
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