As a supporting actress, Graham was cast in a number of parts that brought her attention, including Nadine in 1989 film Drugstore Cowboy. In 1991, she appeared in the TV series Twin Peaks as Annie Blackburn, Dale Cooper's second-season love interest. However, her breakthrough role was that of 1970s porn starlet Roller Girl in 1997's Boogie Nights, for which she received several award nominations. Her first starring role was in 1999 as Felicity Shagwell in Austin Powers: The Spy Who Shagged Me. She also appeared in the music video for Lenny Kravitz's cover of "American Woman" by The Guess Who. More recently, she starred as Mary Kelly in the 2001 film From Hell, based on the story of Jack the Ripper.

Although Graham has been featured in mainstream films, she has also been cast in a number of independent films. Some of those films, like 2002's The Guru, have brought her critical praise. She also starred opposite Joseph Fiennes in the less successful Killing Me Softly. In 2001, Gr