Walker was born in Warrington, Cheshire, England. Her first school was Silverdale Preparatory West Acton, London. At 16, Walker graduated from Ballet Rambert School in Twickenham, began her career as a dancer, but had to abandon dancing after a leg injury at the age of 18. She then decided to become an actress. She moved from the Drama Centre in London to the Royal Shakespeare Company, where she played bit parts for six months before graduating to small roles on television.

Walker landed the title role in the television series Lorna Doone before making her feature debut in Shogun Mayeda (1991). In that same year she appeared in Les Equilibristes and in Mike Newell's Enchanted April, in which she played an aristocrat eager to escape the attentions of her persistent male admirers. Walker first garnered international attention in 1992 as a single-minded English member of an Irish terrorist group in Phillip Noyce's Patriot Games. In 2003 she had a starring role in the BBC drama series State of Play.

Between 2005-2007, Walker played Atia of the Julii in the both seasons of the HBO/BBC2 television series Rome. Her performance earned her a Golden Globe nomination in 2005 for "Best Performance by an Actress In A Television Series - Drama." She next played the sinister Catherine Braithwaite in Deus Ex Machina, a two-episode story of the BBC television "cold case" crime series Waking the Dead, which also aired in January 2007. In May 2007, Walker appeared as Lady Bess Sedgwick in ITV's Marple: At Bertram's Hotel, and then played sugar heiress Ellis Samuels in the CBS television drama Cane, which premiered 25 September 2007.

In May 2008, Walker was cast as Sister Clarice Willow, headmistress of a private religious school, in Syfy's Battlestar Galactica prequel series Caprica.

She is one of four siblings. Walker has two children from two previous relationships, Giorgio (b. 1993) and Delilah (b. 2000). She currently lives in the United States. On 23 October 2008, Polly married former British soap star, Laurence Penry-Jones, most famous for his role as Dr. Oliver Berg in the BBC soap, Doctors.