Originally hailing from Darien, Connecticut, Sevigny attributes weekend trips into nearby New York City in her teens as an important early saving grace from her super rich and stuffy hometown. It was on one such trip at the age of eighteen, that Sevigny was spotted on the street by a fashion editor for Sassy magazine. Impressed by her flair for street fashion, the editors of the progressive teen mag asked Sevigny to intern in their offices which led to a few modeling jobs with both Sassy and X-Girl, the urban clothing line created by Sonic Youth front woman Kim Gordon.
At this time Sevigny also spent a lot of her time watching the skateboarders who convened in New York's Tompkins square park. It was here that she met young aspiring director Harmony Korine, and a friendship ensued, resulting in her being cast as the lead in Korine and Larry Clark's collaboration Kids (1995). At around the same time Sevigny snagged the cover of Interview magazine, and even inspired writer Jay McInerney to write a piece about her for The New Yorker in which he hailed her as the new "it girl."
The late nineties saw Sevigny continuing her acting career with a string of independent films, among them Trees Lounge (1996), Palmetto (1998), and Whit Stillman's homage to early 80s wikipedia:yuppie|yuppiedom]] The Last Days of Disco (1998). In 1997 Sevigny and Korine teamed up again to make Gummo (1997), in which Sevigny was both star and costume designer. In 2000 that Sevigny's career made a turn towards more mainstream recognition when her portrayal of Lana Tisdel in Boys Don't Cry (1999) garnered her an Oscar nod at the age of twenty-five.
From 2006-11 she played sister-wife Nicolette Grant on the hit HBO drama "Big Love" which garnered her a Golden Globe win in 2010. She joined the cast of American Horror Story in 2012. The same year she starred as pre-op transgender contract killer Mia in the British TV drama "Hit & Miss". In 2014, she took another starring TV role in the short-lived A&E crime drama Those Who Kill as troubled homicide cop Catherine Jensen. She has also had recurring roles on the TV comedies The Mindy Project and Portlandia as well as one-time appearances on Will & Grace, Law & Order: SVU, and Louie. Before returning in AHS: Hotel, she wrapped a recurring role in the 2015 series Bloodline.
- While portraying Shelley after her encounter with Dr. Arthur Arden, she had to be wheeled around in a wheelchair between scenes because her prosthetic pieces made it hard for her to straighten her legs.