Hershey won an Emmy and a Golden Globe for Outstanding Lead Actress in a Miniseries/TV Film for her role in A Killing in a Small Town (1990). She received Golden Globe nominations for Best Supporting Actress for her role as Mary Magdalene in The Last Temptation of Christ (1988) and for her role in The Portrait of a Lady (1996). For the latter film, she was nominated for an Academy Award for Best Supporting Actress and won the Los Angeles Film Critics Award for Best Supporting Actress. She has won two Best Actress awards at the Cannes Film Festival for her roles in Shy People (1987) and A World Apart (1988). She was featured in Woody Allen's Hannah and Her Sisters (1986), for which she was nominated for the British Academy Film Award for Best Supporting Actress and Garry Marshall's melodrama Beaches (1988), and she earned a second British Academy Film Award nomination for Darren Aronofsky's Black Swan (2010).