McElhone began her career in the theatre, including starring in Richard III in Regent's Park, The Count of Monte Cristo and The Cherry Orchard at the Haymarket Theatre, Leicester; and in Midsummer Night's Dream at the Open Air Theatre. McElhone made her television debut in the BBC's Bergerac in 1991, and an episode of Absolutely Fabulous in 1992.

McElhone made her film debut in 1996's Surviving Picasso, the first and only time she appeared fully nude in a movie. In the same year she was seen in the Dennis Potter TV mini-series Karaoke. Although she has made relatively few films, her most successful to date has been 1998's The Truman Show with Jim Carrey. She had leading roles opposite Robert DeNiro in Ronin and George Clooney in Solaris.

In Spring 2006 she starred in the West End production of Honour at the Wyndham's Theatre alongside Diana Rigg and Martin Jarvis. She then starred in Californication as Karen, alongside David Duchovny.