- Studied acting and singing at the Paris Conservatoire in 1913.
- Had three sons with Jacques Feyder: Marc, Paul and actor/producer Bernard, who appeared on films as Bernard Farrel.
- Attempted briefly a career as an opera singer. Sang four soprano roles at the Paris National Opera during the season 1919-1920.
- During the Second World War, she, and her director-husband Jacques Feyder, fled from occupied France to North Africa. There, she worked for Radio Algiers, broadcasting propaganda messages on behalf of the Free French government-in-exile. For her efforts, she was awarded the Legion d'honneur after the war.
- Her first recorded film was Falstaff in 1911, and she began to work in Hollywood from 1929 onwards.
- It was not until 1938 that her biological father, Count François Louis Bandy de Nalèche, acknowledged her as his daughter.
- In 1950 she appeared on stage at London's Winter Garden Theatre, playing the title role in 'Madame Tic Tac' but it had only a short run.
- Rosay spent the duration of World War II in England and Switzerland, where she taught acting classes at the Conservatoire de Genève. She still appeared in films during this time, notably the British Halfway House (1944) as the refugee French wife of a British sea captain.
- In Hollywood, she co-starred with Charles Boyer, Maurice Chevalier and Buster Keaton and worked with directors such as William Dieterle (September Affair, 1949), Martin Ritt (The Sound and the Fury, 1958), Ronald Neame (The Seventh Sin, 1956) and Peter Glenville (Me and the Colonel, 1957) with Danny Kaye.
- A highly accomplished pianist herself in real life, she played the role of a famous piano virtuoso who gives aspiring pianist Dirk Bogarde a compassionate but honest and devastating critical appraisal of his likelihood of becoming a great musician - which results in his suicide. She performs in the film Schubert's Impromptu in E flat.
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