She made famous the play Madame X on the Broadway stage in 1910 and in a 1916 silent film, the first filming of the story. Long forgotten she is the subject of a 1999 book by Lorraine McLean Dorothy Donnelly: A Life in the Theatre.
Donnelly's parents were Thomas Lester Donnelly, manager of the Grand Opera House in New York, and his wife Sarah (nee Williams). Donnelly attended the Convent of the Sacred Heart in New York.
Donnelly was born in New York City where she died. Her only marriage was to Sigmund Romberg (1908-1923).