- Was pregnant with her son Wylie much of the shooting of Game of Thrones (2011)'s Season 1. The production team was so enthusiastic about her performance that they didn't recast the role but instead worked around it. For example, directors kept the camera frame above her waist or had her sit at a table. For wide shots when Cersei was walking around, most of her costumes had large billowing sleeves which she carried in front of her to hide her pregnancy. At other times body doubles were shot from behind in quick cuts. She was in the early stages of pregnancy with her daughter Teddy when Season 5's filming ended and gave birth to Teddy the same month the season has premiered.
- Lena's name is pronounced 'heedy' - not 'heddy'.
- Born in Bermuda, her family moved to Huddersfield, Yorkshire, when she was five, and lived there until she was 17.
- Her father, a police officer, was sent to train in Bermuda shortly before she was born.
- Had to learn how to skin a rabbit for The Brothers Grimm (2005).
- Nominated for five Emmy Awards for Supporting Actress in a Drama Series category for her portrayal of Cersei Lannister in Game of Thrones (2011).
- In Terminator: The Sarah Connor Chronicles (2008), Headey plays Sarah Connor the mother of Thomas Dekker's character John Connor despite being only 14 years older than her co-star.
- Has two children: son Wylie Elliot Loughran (b. March 31, 2010) with ex-husband Peter Paul Loughran, and daughter Teddy Cadan (b. July 10, 2015) with ex-boyfriend Dan Cadan (they dated from 2014 to 2019).
- Tattoos: on her arm saying "Jason" in Thai; right upper arm; between shoulder blades; extensive tattoos on her back.
- Headey played Sarah Connor in Terminator: The Sarah Connor Chronicles (2008). 2 years after the series ended, she was cast as antagonist Cersei Lannister in the HBO series Game of Thrones (2011). Emilia Clarke, who plays Daenerys Targaryen in "Game of Thrones", went on to play Sarah Connor in Terminator Genisys (2015).
- Ranked #64 on the Maxim magazine Hot 100 of 2007 list.
- Heady was cast as Sarah Connor in Terminator: The Sarah Connor Chronicles (2008). She is the 2nd actress to play Sarah Connor, succeeding Linda Hamilton in the role.
- Shares date of birth with Canadian actress Neve Campbell.
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