"I met David Bowie when I was 14 and he became a hero to me -- because he was an artist, and because he was a genius who had the time to be kind," the 45-year-old actress said in a statement to Entertainment Weekly.
"I'd never met such an extraordinary artist before, and I haven't since -- the world will be a greyer place without him. My thoughts are with his family and loved ones."
Directed by Jim Henson, penned by Terry Jones and executive produced by George Lucas, 1986's Labyrinth is a cult-classic, fantasy film starring Bowie as Jareth, the Goblin King, and Connelly as Sarah, the teen whose baby brother he abducts. The movie famously featured Bowie singing alongside puppet creations from Jim Henson's Creature Shop.