| Year | Title | Role | Notes |
| 1985 | Charly | Marie | Short film |
| 1986 | Under the Cherry Moon | Mary Sharon | mw- Nominated – Golden Raspberry Award for Worst Supporting ActressNominated – Golden Raspberry Award for Worst New Star |
| 1987 | Agent trouble | Julie | |
| 1988 | Lounge Chair | Marie | |
| A Handful of Dust | Brenda Last | Evening Standard British Film Award for Most Promising Newcomer |
| 1989 | Force majeure | Katia | |
| Bille en tête | Clara | Also released as Headstrong |
| 1990 | Le bal du gouverneur | Marie Forestier | |
| The Bachelor | Sabine | |
| 1991 | Valentino! I Love You | | Short film |
| Aux yeux du monde | L'institutrice | French language film |
| 1992 | Bitter Moon | Fiona | |
| 1994 | Four Weddings and a Funeral | Fiona | BAFTA Award for Best Actress in a Supporting RoleEvening Standard British Film Award for Best Actress |
| An Unforgettable Summer | Marie-Thérèse von Debretsy | |
| 1995 | En mai, fais ce qu'il te plaît | Martine | |
| The Confessional | Alfred Hitchcock's assistant | |
| Angels & Insects | Matty Crompton | Evening Standard British Film Award for Best Actress |
| Richard III | Lady Anne of Lancaster | |
| Les Milles | Mary-Jane Cooper | (The title refers to the Camp des Milles) |
| The Pompatus of Love | Caroline | |
| Plaisir d'offrir | | Short film |
| 1996 | Mission: Impossible | Sarah Davies | |
| Souvenir | Ann | |
| Microcosmos | Narrator | English version |
| The English Patient | Katharine Clifton | National Board of Review Award for Best Supporting ActressNominated – Academy Award for Best ActressNominated – BAFTA Award for Best Actress in a Leading RoleNominated – Golden Globe Award for Best Actress – Motion Picture DramaNominated – Satellite Award for Best Actress – Motion Picture DramaNominated – Screen Actors Guild Award for Outstanding Performance by a Female Actor in a Leading RoleNominated – Screen Actors Guild Award for Outstanding Performance by a Cast in a Motion Picture |
| 1997 | Amour et confusions | Sarah | |
| 1998 | The Horse Whisperer | Annie MacLean | |
| Sweet Revenge | Imogen Staxton-Billing | |
| 1999 | Random Hearts | Kay Chandler | |
| 2000 | Up at the Villa | Mary Panton | |
| 2001 | Play | First Woman | Short film |
| Life as a House | Robin Monroe | |
| Gosford Park | Sylvia McCordle | Broadcast Film Critics Association Award for Best CastFlorida Film Critics Circle Award for Best CastOnline Film Critics Society Award for Best CastSatellite Special Achievement Award – Ensemble CastScreen Actors Guild Award for Outstanding Performance by a Cast in a Motion PictureNominated – Phoenix Film Critics Society Award for Best Cast |
| 2003 | Small Cuts | Béatrice | French language film |
| 2004 | Arsène Lupin | Joséphine, comtesse de Cagliostro | |
| 2005 | Man to Man | Elena van den Ende | |
| Chromophobia | Iona Aylesbury | |
| Keeping Mum | Gloria Goodfellow | Nominated – London Film Critics' Circle Award for British Actress of the Year |
| 2006 | The Valet | Christine Levasseur | French language film |
| Tell No One | Hélène Perkins |
| 2007 | The Walker | Lynn Lockner | |
| The Golden Compass | Stelmaria (voice) | |
| 2008 | I've Loved You So Long | Juliette | European Film Award for Best ActressLondon Film Critics' Circle Award for British Actress of the YearNominated – BAFTA Award for Best Actress in a Leading RoleNominated – César Award for Best ActressNominated – Golden Globe Award for Best Actress – Motion Picture DramaNominated – Irish Film and Television Award for Best ActressNominated – Satellite Award for Best Actress – Motion Picture DramaFrench language film |
| The Other Boleyn Girl | Lady Elizabeth Boleyn | |
| 2 Alone in Paris | L'antiquaire | |
| Easy Virtue | Mrs. Whittaker | Nominated – British Independent Film Awards for Best Supporting ActressNominated – London Film Critics' Circle Award for British Supporting Actress of the Year |
| Largo Winch | Ann Fergusson | |
| 2009 | Confessions of a Shopaholic | Alette Naylor | |
| 2009 | Leaving | Suzanne | Evening Standard British Film Awards 2011 Best ActressNominated – César Award for Best ActressNominated – Globe de Cristal Award for Best ActressFrench language film |