Her death was confirmed to the BBC "with deep sorrow" by her representatives.
Headly was an early member of Chicago's famed Steppenwolf Theatre Company, as was her first husband John Malkovich.
She was recently seen in HBO's The Night Of and had been filming comedy series Future Man.
Headly was nominated for an Emmy for 1989 miniseries Lonesome Dove and again for 1996's Bastard Out of Carolina.
She is survived by her second husband Byron McCulloch and their son Stirling.
Born in 1955 in New London, Connecticut, Headly bought a bubbly comic energy to such films as Woody Allen's The Purple Rose of Cairo and 2001's What's the Worst that Could Happen?.
Yet she was also seen in dramatic roles in such films as Mr Holland's Opus and this year's The Circle, in which she played Emma Watson's mother.
Michael McKean, who starred with her in a 2002 TV pilot, was among the first to pay tribute to her on Twitter, remembering her as "a fine actress and a good person".
It is not yet known how Headly died.
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Glenne Headly, the Emmy-nominated US actress who appeared in such films as Dirty Rotten Scoundrels and Dick Tracy, has died at the age of 62.