Kennedy was born in Washington, D.C., six months after her father was assassinated. She graduated from Brown University in Providence, Rhode Island.

In the 1990s, Kennedy and fellow Brown classmate Vanessa Vadim (daughter of Roger Vadim and Jane Fonda) formed May Day Media, a non-profit organization that specializes in the production and distribution of films with a social conscience, based in Washington, D.C.

In 1998 Kennedy and fellow Brown graduate Liz Garbus founded Moxie Firecracker Films which specializes in documentaries that highlight pressing social issues. The television networks that have shown its films include:

• A&E
• Channel 4 (UK)
• Court TV
• Discovery Channel
• HBO
• Lifetime

• MTV
• Oxygen
• Public Broadcasting Service (PBS)
• Sundance Channel
• TLC

She directed and co-produced American Hollow (1999) about a struggling Appalachian family which received critical acclaim and many awards. HBO broadcast the film and publisher Little, Brown and Company released Kennedy's companion book simultaneously.

Kennedy directed and co-produced the Emmy Award-nominated series Facing AIDS (2003), which premièred at the International AIDS Conference in Barcelona, Spain, on July 8, 2002; it was later broadcast as a five-part series on HBO in June 2003.

Kennedy directed and co-produced A Boy’s Life (2004), the story of a young boy and his family in rural Mississippi. It premièred to rave reviews at the 2003 Tribeca Film Festival and was awarded the Best Documentary prize at the Woodstock Film Festival; it was later broadcast on HBO.

When asked in a March 24, 2004, interview with Salon.com about her interest in the American South, Kennedy cited her father's experiences in the region as an inspiration and starting point. In the same article, she goes on to mention that showing class differences in American culture also motivates her.

For HBO she directed and co-produced Imagining the Unimaginable (2004), which was broadcast on September 9, 2004. The film takes a "what if" look at the catastrophic consequences of a radioactive release at the Indian Point Energy Center, a three-unit nuclear-power plant station, located north of midtown Manhattan, New York City, New York.

Kennedy directed and co-produced Homestead Strike (2006) as part of The History Channel’s