Daly began her career on stage in summer stock in New York, and made her Broadway debut in the play "That Summer – That Fall" in 1967. She is best known for her television role as Detective Mary Beth Lacey in "Cagney & Lacey" (1982–88), for which she is a four-time Emmy Award winner as Outstanding Lead Actress in a Drama Series. In 1989, she starred in the Broadway revival of "Gypsy" and won the 1990 Tony Award for Best Actress in a Musical.