After completing Twin Peaks, she returned to theater, appearing in the title role of Salome on Broadway opposite Al Pacino.

When Lynch shot the home movie that James Hurley takes of Donna Hayward and Laura, he realized that Lee had something special.

The following years, Lee played the part of Liza in Gary Walkow's 1995 adaptation of Fyodor Dostoevsky's novella Notes from Underground opposite Henry Czerny, the role of Helga and Resi Noth in the 1996 romantic war film Mother Night, based on Kurt Vonnegut's 1961 novel of the same name, starred alongside Craig Sheffer in Bliss (1997) and played the role of Katrina in John Carpenter's 1998 film Vampires opposite James Woods and Daniel Baldwin.

She played also a leading role in the 1999 crime drama film Angel's Dance with Kyle Chandler and Jim Belushi and starred as Dr. Sarah Church in the short lived series L.A. Doctors (1998—1999) which ran for a single season.

Lee starred opposite Anthony Michael Hall as the sweet but vengeful housewife Eve Robbins in the 2001 USA Cable movie Hitched.

[14][15] She played the leading role of Elinore Murphy in Children on Their Birthdays (2002), based on the short story of the same title by Truman Capote.

In 2007 and 2008 Lee appeared on the ABC dramedy Dirty Sexy Money as Andrea Smithson, the mother of Brian Darling's (Glenn Fitzgerald) illegitimate child.

Other cast members reunited with Lee included Sherilyn Fenn (Audrey Horne), Dana Ashbrook (Bobby Briggs), Ray Wise (Leland Palmer), Lenny Von Dohlen (Harold Smith), Robyn Lively (Lana Budding Milford), and Catherine E. Coulson (The Log Lady).

In 2010 she appeared in a supporting role as April in Debra Granik's Winter's Bone (which won best picture at the Sundance Film Festival in 2010).

Lee played Lucie Sliger in the 2011 crime thriller Texas Killing Fields alongside Jessica Chastain, Sam Worthington and Chloë Grace Moretz.

In the art drama thriller White Bird in a Blizzard (2014), written and directed by Gregg Araki, she played May opposite Shailene Woodley and Eva Green.

[17] In 2016 she appeared in a supporting role as Air in the Netflix production Rebirth, which premiered at the Tribeca Film Festival, and had a small part as Karen in Café Society, written and directed by Woody Allen.

[32] In September 2012, Lee signed environmental activist Tom Weis's open letter calling on President Barack Obama and Governor Mitt Romney to withdraw their support for the construction of the southern leg of Keystone XL, a pipeline that would transport bitumen from Montana to Texas.

Other signatories included climate scientist James Hansen and actors Daryl Hannah, Mariel Hemingway, and Ed Begley Jr.[33] On December 8, 2012, Lee performed poems written by herself as part of a collaborative performance along with artist Marina DeBris, dancer Maya Gabay, and musician Marla Leigh, for the U.S. National Committee for UN Women's First Annual Special Assembly: Women, Climate Change, and Human Rights.