| Year | Title | Role | Notes |
| 1978 | Guerres civiles en France | | Credited as Julie PilletSegment La semaine sanglante |
| 1982 | Niveau moins trois | | Short film |
| 1985 | Classique | | Short film |
| Détective | Wise young girl | |
| L'Amour ou presque | Melie | |
| 1986 | Mauvais Sang | Lise | English: Bad BloodNominated—César Award for Most Promising Actress |
| 1987 | Beatrice | Beatrice de Cortemart | French: La Passion BéatriceNominated—César Award for Most Promising Actress |
| King Lear | Virginia (uncredited) | |
| 1988 | L'autre nuit | Marie | |
| 1989 | La noche oscura | Virgin Mary | English: The Dark Night |
| Trouble | | Short film |
| 1990 | Europa Europa | Leni | |
| 1991 | Les dents de ma mère | Julie | Short film |
| Voyager | Sabeth | Nominated—European Film Award for Best Actress |
| 1992 | Warsaw - Year 5703 | Fryda | |
| 1993 | The Three Musketeers | Constance | |
| Younger and Younger | Melodie | |
| Killing Zoe | Zoe | |
| Three Colours: Blue | Dominique (cameo appearance) | |
| 1994 | Three Colours: White | Dominique | |
| Three Colours: Red | Dominique (cameo appearance) | |
| 1995 | Blah Blah Blah | Short film | Also as writer, director, and producer |
| Before Sunrise | Céline | Nominated—MTV Movie Award for Best Kiss |
| 1996 | Tykho Moon | Lena | |
| 1997 | Les mille merveilles de l'univers | Eva Purpur | English: The Thousand Wonders of the Universe |
| An American Werewolf in Paris | Serafine Pigot | |
| Alleys and Motorways | | Video |
| 1998 | The Treat | Francesca | |
| Without a Map | Julie | |
| Crime and Punishment | Sonia | Television film |
| 1999 | True Love | | Television film |
| The Passion of Ayn Rand | Barbara Branden | Television film |
| But I'm a Cheerleader | Lipstick Lesbian | |
| 2000 | Sand | Lill | |
| 2001 | Investigating Sex | Chloe | Also known as Intimate Affairs |
| MacArthur Park | Wendy | |
| Waking Life | Céline | |
| Beginner's Luck | Anya | |
| ER | Nicole | Television program, 7 episodes |
| 2002 | Villa des roses | Louise Creteur | |
| Looking for Jimmy | Al | Also as writer, director, and producer |
| CinéMagique | Marguerite | Disney Theme Park Attraction |
| 2003 | Notting Hill Anxiety Festival | Charlotte | |
| 2004 | Before Sunset | Céline | Also as writer and composerEmpire Award for Best ActressSan Francisco Film Critics Circle Award for Best ActressNominated—National Society of Film Critics Award for Best ActressNominated—Online Film Critics Society Award for Best ActressNominated—Los Angeles Film Critics Association Award for Best Actress |
| Frankenstein | Caroline Frankenstein | Miniseries |
| 2005 | Broken Flowers | Sherry | |
| 2006 | The Legend of Lucy Keyes | Jeanne Cooley | |
| The Hoax | Nina van Pallandt | |
| Guilty Hearts | Charlotte | |