The 22-year-old actress and 45-year-old star attended the Los Angeles premiere of their movie, American Pastoral, at the Academy of Motion Picture Arts and Sciences in Beverly Hills.
Fanning lit up the red carpet in an orange dress with cutouts, and accessorized with a metallic clutch and strappy sandals. Connelly paired a black and white dress with checkerboard and polka dot patterns with pointed-toe boots.
American Pastoral is based on the Philip Roth novel of the same name. The story centers on a successful Jewish American businessman (McGregor) whose daughter (Fanning) becomes a political radical.
"I play his daughter and Jennifer Connelly's daughter. They're both so amazing," Fanning said Wednesday on The Tonight Show. "The film's about an American family. It starts in the '40s and I come in in the '60s. I'm a teenager growing up sort of in the tumultuous times of the 1960s in America."
"It's kind of about perception versus reality -- how people perceive this family to be perfect and to have it all -- and it kind of questions whether you can ever really know someone and that appearances aren't always true," she added.
American Pastoral opens in theaters Oct. 21. Fanning will also star in Viena and the Fantomes with Evan Rachel Wood and Please Stand By with Toni Collette, while Connelly is slated for Granite Mountain with Miles Teller.