She is most known for her role as Helen Lyle in the horror film Candyman (1992); and for her performance as Maya in Alexander Payne's film Sideways (2004), for which she received numerous awards and nominations, including nominations for the Golden Globe and the Academy Award for Best Supporting Actress.
Her other film appearances include Long Gone (1987), Gotham (1988), The Hot Spot (1990), Ghosts of Mississippi (1996), The Rainmaker (1997), A Prairie Home Companion (2006), The Astronaut Farmer (2007), The Haunting in Connecticut (2009), Red Riding Hood (2011), and All the Wilderness (2014).
She starred as Kimble Hookstraten in the first season of the ABC political drama series Designated Survivor.
Madsen's siblings are Cheryl Madsen, an entrepreneur, and actor Michael Madsen.
In 2013, Madsen began appearing on Lifetime's Witches of East End as Penelope Gardiner, the main villainess of the first season.
Madsen was cast in a series of successful teen movies, including Electric Dreams (1984), Modern Girls (1986), and Fire with Fire (1986).
Her paternal grandparents were Danish, and her mother has English, Irish, Scottish, German and distant Native American ancestry.
Madsen later attended the Ted Liss Acting Studio in Chicago, and Harand Camp Adult Theater Seminar in Elkhart Lake, Wisconsin.
Her first project was a film made with her mother titled I Know a Woman Like That.
The film is a documentary about the lives of older women.