In 2012, she joined the cast of the AMC western drama series Hell on Wheels as Mrs.Durant, first appearing in episode eight of season 2, "The Lord's Day".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).As beauty queen Dixie Lee Boxx, she was the sexy love interest of minor-league baseball manager Cecil "Stud" Cantrell (William Petersen) in the HBO television movie Long Gone (1987).
It was well worth the wait because I don't think I could have got that sort of training anywhere else especially in the United States...
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.
She made her film debut in Class (1983), which was filmed in her native Chicago. In 1984, David Lynch cast her in the science fiction film Dune as Princess Irulan.
Madsen was cast in a series of successful teen movies, including Electric Dreams (1984), Modern Girls (1986), and Fire with Fire (1986).