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 based in Washington, D.C., that specializes in the production and distribution of films with a social conscience.
Women of Substance was Kennedy's first documentary. The film was released in 1994, and the idea came out of a paper about female addicts that she wrote while a student at Brown. The television networks that have shown its films include:
A&E, the UK's
Channel 4,
Court TV,
Discovery Channel,
HBO,
Lifetime, MTV,
Oxygen,
PBS,
Sundance Channel, and
TLC. She directed and co-produced
American Hollow (1999), a film about a struggling
Appalachian family that received critical acclaim and many awards. HBO broadcast the film and
publisher Little, Brown and Company simultaneously released Kennedy's companion book. Kennedy presented the documentary at Wittenberg University on September 13, 2001. In October 2001, Kennedy traveled to Cleveland, Ohio, to address the opening meeting of the National Council of Jewish Women. At the meeting, she spoke about her documentary film-production company
Change the World Through Film. Kennedy directed and co-produced the
Emmy Award-nominated series
Pandemic: Facing AIDS (2003), which premiered at the
International AIDS Conference in
Barcelona, Spain, on July 8, 2002. It was funded by the
Bill and Melinda Gates Foundation, and tells the stories of
AIDS patients outside the Western world. It was broadcast in America 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. The movie premiered 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 Kennedy was asked in a March 24, 2004, interview with
Salon about her interest in the
American South, she 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. She directed and co-produced
Indian Point: Imagining the Unimaginable (2004) for HBO, 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 series,
10 Days that Unexpectedly Changed America (April 2006). She was a co-executive producer for
Street Fight (2005), which chronicles the 2002
Newark, New Jersey, unsuccessful mayoral campaign of
Democrat Cory Booker — then a
Newark Municipal Councilman — against Democratic eighteen-year
incumbent Mayor Sharpe James. The film earned an
Academy Award nomination for
Best Documentary (Feature). (Booker later won the mayoral election on May 9, 2006, against Democratic
Ronald Rice; James did not seek re-election for another four-year term in 2006.) Kennedy directed and co-produced
Ghosts of Abu Ghraib (2007), which premiered at the
Sundance Film Festival and won the 2007 Primetime Emmy Award for Best Documentary. Kennedy first learned of the
Abu Ghraib prison practices when images came out in the media, which were accompanied by a
New Yorker article by Seymour Hersh. According to Kennedy, she was "horrified and shocked and disgusted" by the images of the naked prisoners and laughing American soldiers. She conducted interviews with people who were present at the prison along with those directly involved in the abuse. Kennedy's opinion of the participants changed after she interviewed them, when she began feeling they "were very humane and very much like me" and discovered they "were not monsters." She directed
Thank You, Mr. President: Helen Thomas at the White House for HBO Documentary Films, which premiered on HBO on August 18, 2008. According to reviews, the 40-minute-long documentary provided an interesting, though brief, glimpse into the iconic journalist. On June 30, 2009, Kennedy was invited to join the
Academy of Motion Picture Arts and Sciences. Kennedy directed
The Fence (La Barda), which premiered at the opening night of The Sundance Film Festival 2010. The film made its debut on HBO on September 16, 2010. Favorably received, it details the woeful inadequacies of the border fence between the United States and Mexico, which has increased migrants' deaths, but does not deter illegal immigration. In 2011, she produced and directed
Ethel, which was a documentary about her mother. The movie premiered at the 2012 Sundance Film Festival and aired on HBO on October 18, 2012. Reviews portrayed the documentary as a moving tribute, but criticized its lack of depth. Kennedy conducted interviews with her siblings over five days at the Kennedy family compound in Hyannis Port. For the finished film, she went through "some 100 hours" of archive footage, photos and home videos.
Last Days in Vietnam was directed by Kennedy and co-produced with Keven McAlester; the documentary film debuted at the Sundance Film Festival in January 2014. During production of the film, she spoke with U.S. military and Vietnam nationals now in the U.S. and said the most exciting part of the film to her was "telling the untold stories about Americans and Vietnamese who were on the ground, who went against U.S. policy and risked their lives to save Vietnamese". In September 2014,
Last Days in Vietnam opened at the Nuart Theater in Los Angeles. Kennedy had difficulty getting some of the people featured in her film to get involved. Out of them, she believed
Henry Kissinger had the most reluctance to the project. On their reluctance, Kennedy stated: "I think a lot of those folks suffered post-traumatic stress from that moment. When I asked them to relive it, it really took a toll. Many of the people told me it took them a week to recover from the interviews. I've gotten tons of emails from people in Vietnam who can't see the film because it's too traumatic for them."
Last Days in Vietnam was nominated as
Best Documentary Feature for the
87th Academy Awards. In 2024, Kennedy directed and produced
The Synanon Fix a documentary series revolving around
Synanon for HBO. In early 2024, Film Training Manitoba based in Winnipeg, Canada announced Kennedy as the distinguished speaker for the Manitoba Film Master Series which took place at the Manitoba Institute of Trades and Technology (MITT). The Film Master Series included a session with Kennedy instructing specifically for women, non-binary, and Trans participants. In 2025, Kennedy directed and produced
The Trial of Alec Baldwin which will have its world premiere at
DOC NYC in November 2025, revolving around
Alec Baldwin and the
Rust shooting incident. ==Activism and politics==