Leigh is known for doing extensive method acting research in every role, including keeping diaries written in the character’s voice, and in the past has interviewed psychiatrists, mental patients, drug addicts, sexual abuse survivors, prostitutes and phone sex workers to prepare for her roles. Leigh was willing to perform oral sex on Vincent Gallo in the 2004 film The Brown Bunny, but said "it just didn't work out". Eventually, Chloë Sevigny got the role.

When Leigh was twenty years old, her father was accidentally killed when a helicopter stunt went wrong while shooting Twilight Zone: The Movie (1983). Leigh and her sister filed suit against Warner Brothers, John Landis, and Steven Spielberg. They settled out of court a year later, but the terms of the settlement have never been made public.

Leigh and her boyfriend of four years, Academy Award-nominated independent film writer-director Noah Baumbach (The Squid and the Whale), were married on September 3, 2005. Baumbach directed Margot at the Wedding, which starred Leigh opposite Nicole Kidman and Jack Black. The couple reside in New York City and Los Angeles.

She has been best friends with her Fast Times at Ridgemont High and The Anniversary Party co-star Phoebe Cates for over 25 years. Other close friends include Mare Winningham, Jennifer Beals, Alan Cumming, and John C. Reilly. Her stepfather is television director Reza Badiyi.

According to various magazine interviews and her 1999 guest slot on the TV show Inside the Actors Studio, Leigh is a fan of the photographer Nan Goldin, and the musicians Bob Dylan, Van Morrison, Liz Phair, and Ella Fitzgerald.