Pamela Helen Stephenson, Lady Connolly was born on 4 December 1949 in Takapuna, Auckland, New Zealand. She started an acting career in 1972. She starred during 1973–74 as Julie King in the Australian TV series 'Ryan'. After numerous TV and film appearances, including as Josephine in the 1977 ABC production of Malcolm Williamson's opera 'The Violins of Saint-Jacques', she had another recurring role as Iris Reade in the UK series 'Funny Man' (1981).
Probably her most widely recognized television role was in the classic 1980s UK comedy television sketch show Not The Nine O'Clock News, alongside Rowan Atkinson, Mel Smith and Griff Rhys Jones (1979–82). Her parodies included Kate Bush in a song called Oh England My Leotard (referencing Oh England My Lionheart), and Olivia Newton-John in a song called 'Typical bloody typical' (referencing 'Physical'). Her personal contribution as a comedian added to the success of Not the Nine O'Clock News, and led to a collaboration with comedy and satire writers Mike Lepine and Mark Leigh. This spawned a book, 'How To Be A Complete Bitch', and a board game.
She also featured in the American comedy sketch show Saturday Night Live (SNL) (1984–85), becoming the first female SNL cast member to have been born outside of North America. Her characters on the show included Angela Bradleigh (Weekend Update commentator) and celebrity impersonations of Madonna (in a fake commercial parodying the singer's "Lucky Star" music video), Billy Idol, Debby Douillard, Peggy Ashcroft, Joan Collins and Cyndi Lauper.
In 1989, she married Scottish comedian Billy Connoly. They relocated to Los Angeles, California (USA) when he landed a contract with Warner Brothers, and she decided to embark on a Ph.D. course in Psychology. In her private practice in Beverly Hills, she provided mental health care to adult individuals and couples for a range of psychological complaints. Her professional specialties include human sexuality. She was founder and president of the Los Angeles Sexuality Center, an online sexual research engine which operated for five years until she moved to New York.
Connolly has completed research projects and other field studies on the gender-liminal people of Samoa, Tonga, and India. She has also presented the More4 TV show 'Shrink Rap', in which she conducted psychologically-based interviews with well-known people, including Salman Rushdie, Carrie Fisher and Robin Williams.
As an author, Pamela Connolly has published seven books. Her biography 'Billy' (2002) topped best-seller lists in Britain and several other countries. 'Head Case' (2009) describes self-help approaches for a variety of mental health problems. She has been a regular contributor to Psychologies magazine, writes a column on relationships for The Australian Women's Weekly and has a weekly sexual healing column in The Guardian, written under the name Pamela Stephenson Connolly.